Modelisation of chaotic systems with a latent Stochastic Differential Equation

Abstract

Stochastic Differential Equations (SDEs) have become a cornerstone of scientific machine learning, though they are predominantly utilized as algorithmic tools for uncertainty quantification or distribution matching. In contrast, leveraging SDEs fundamentally to model macroscopic, nonlinear physics as stochastic processes remains largely unexplored. This work introduces a probabilistic, non-intrusive reduced-order model (ROM) for chaotic dynamical systems. We argue that projecting high-dimensional nonlinear dynamics onto a low-dimensional manifold introduces irreducible uncertainty, compounded by the chaotic attractors and multi-admissible futures inherent to turbulent flows. Consequently, a chaotic system governed by a partial differential equation can be effectively modeled by an SDE in a suitable latent space. To this end, a nonlinear autoencoder is employed to map the flow field into a low-dimensional representation, within which the temporal evolution is explicitly governed by an SDE. The predictable component of the dynamics is captured by a learned drift term, while state-dependent stochasticity is absorbed by a diffusion term. We demonstrate that this probabilistic framework successfully propagates highly nonlinear states, offering a robust alternative to traditional deterministic methodologies for chaotic regimes. Ultimately, our model generates new chaotic flow trajectories that remain locally and globally consistent with the true transition kernel learned from Direct Numerical Simulation (DNS) data. Even though these generated trajectories are unique and distinct from the training set, they preserve the underlying statistics and manifolds, validating the strong generative performance and robustness of our methodology.