System Identification with Copula Entropy
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Identifying differential equation governing dynamical system is an important problem with wide applications. Copula Entropy (CE) is a mathematical concept for measuring statistical independence in information theory. In this paper we propose a method for identifying differential equation of dynamical systems with CE. The problem is considered as a variable selection problem and solved with the previously proposed CE-based method for variable selection. The proposed method composed of two components: the difference operator and the CE estimator. Since both components can be done non-parametrically, the proposed method is therefore model-free and hyperparameter-free. The simulation experiment with the 3D Lorenz system verified the effectiveness of the proposed method.
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