<p>We suggest a new method for construction of data-driven dynamical models from observed multidimensional time series. The method is based on a recurrent neural network (RNN) with specific structure, which allows for the joint reconstruction of both a low-dimensional embedding for dynamical components in the data and an operator describing the low-dimensional evolution of the system. The key link of the method is a Bayesian optimization of both model structure and the hypothesis about the data generating law, which is needed for constructing the cost function for model learning. &#160;The form of the model we propose allows us to construct a stochastic dynamical system of moderate dimension that copies dynamical properties of the original high-dimensional system. An advantage of the proposed method is the data-adaptive properties of the RNN model: it is based on the adjustable nonlinear elements and has easily scalable structure. The combination of the RNN with the Bayesian optimization procedure efficiently provides the model with statistically significant nonlinearity and dimension.<br>The method developed for the model optimization aims to detect the long-term connections between system&#8217;s states &#8211; the memory of the system: the cost-function used for model learning is constructed taking into account this factor. In particular, in the case of absence of interaction between the dynamical component and noise, the method provides unbiased reconstruction of the hidden deterministic system. In the opposite case when the noise has strong impact on the dynamics, the method yield a model in the form of a nonlinear stochastic map determining the Markovian process with memory. Bayesian approach used for selecting both the optimal model&#8217;s structure and the appropriate cost function allows to obtain the statistically significant inferences about the dynamical signal in data as well as its interaction with the noise components.<br>Data driven model derived from the relatively short time series of the QG3 model &#8211; the high dimensional nonlinear system producing chaotic behavior &#8211; is shown be able to serve as a good simulator for the QG3 LFV components. The statistically significant recurrent states of the QG3 model, i.e. the well-known teleconnections in NH, are all reproduced by the model obtained. Moreover, statistics of the residence times of the model near these states is very close to the corresponding statistics of the original QG3 model. These results demonstrate that the method can be useful in modeling the variability of the real atmosphere.</p><p>The work was supported by the Russian Science Foundation (Grant No. 19-42-04121).</p>
A data-driven approach to conditional screening of high-dimensional variables
