Accelerated surrogate dynamics for dynamical, stochastic system evolution

Abstract

Dynamic simulations are an entrenched way of gaining insight into the evolution of system dynamics. Their computational cost however is often prohibitively high, especially in cases of stochastic frameworks. Machine learning algorithms are especially suited as simulation surrogates. Nevertheless, they face some very distinct limitations. Firstly, the sheer dimensionality of these systems, however, precludes the use of traditional time series models who struggle with high dimensional feature spaces. Additionally, traditional time series focus exclusively on either long or short range effects, causing local or global drift given enough time. In this paper, we propose a framework that addresses those limitations. Our framework combines a Variational Autoencoder, with a convolutional or graph basis that reduces the dimensionality of the system. This latent vector is propagated in time using a Temporal Fusion Transformer model, which includes both long range and short range effect encoding, as well as static covariate support. We test our framework on three distinct cases, to prove its robustness and in all three we have achieved practically identical to the simulation results at a fraction of the time. Further, our framework is flexible enough to be adapted to any new system and provides an inbuilt uncertainty quantification for targeted experiment design.