Numerical differentiation of noisy data: A unifying multi-objective optimization framework

3 Sep 2020  ·  Floris van Breugel, J. Nathan Kutz, Bingni W. Brunton ·

Computing derivatives of noisy measurement data is ubiquitous in the physical, engineering, and biological sciences, and it is often a critical step in developing dynamic models or designing control. Unfortunately, the mathematical formulation of numerical differentiation is typically ill-posed, and researchers often resort to an \textit{ad hoc} process for choosing one of many computational methods and its parameters... In this work, we take a principled approach and propose a multi-objective optimization framework for choosing parameters that minimize a loss function to balance the faithfulness and smoothness of the derivative estimate. Our framework has three significant advantages. First, the task of selecting multiple parameters is reduced to choosing a single hyper-parameter. Second, where ground-truth data is unknown, we provide a heuristic for automatically selecting this hyper-parameter based on the power spectrum and temporal resolution of the data. Third, the optimal value of the hyper-parameter is consistent across different differentiation methods, thus our approach unifies vastly different numerical differentiation methods and facilitates unbiased comparison of their results. Finally, we provide an extensive open-source Python library \texttt{pynumdiff} to facilitate easy application to diverse datasets (https://github.com/florisvb/PyNumDiff). read more

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Dynamical Systems Signal Processing