Hybrid Echo State Networks

Following the idea of giving physical information to machine learning models the hybrid echo state networks [1] try to achieve this results by feeding model data into the ESN. In this example it is explained how to create and leverage such models in ReservoirComputing.jl. The full script for this example is available here. This example was run on Julia v1.7.2.

Generating the data

For this example we are going to forecast the Lorenz system. As usual the data is generated leveraging DifferentialEquations.jl:

using DifferentialEquations

u0 = [1.0,0.0,0.0]                       
tspan = (0.0,1000.0)  
datasize = 100000
tsteps = range(tspan[1], tspan[2], length = datasize)                   

function lorenz(du,u,p,t)
    p = [10.0,28.0,8/3]
    du[1] = p[1]*(u[2]-u[1])
    du[2] = u[1]*(p[2]-u[3]) - u[2]
    du[3] = u[1]*u[2] - p[3]*u[3]
end

ode_prob = ODEProblem(lorenz, u0, tspan)
ode_sol = solve(ode_prob, saveat = tsteps)
ode_data =Array(ode_sol)

train_len = 10000

input_data  = ode_data[:, 1:train_len]
target_data = ode_data[:, 2:train_len+1]
test_data   = ode_data[:, train_len+1:end][:, 1:1000]

predict_len = size(test, 2)
tspan_train = (tspan[1], ode_sol.t[train_len])

Building the Hybrid Echo State Network

In order to feed the data to the ESN it is necessary to create a suitable function.

function prior_model_data_generator(u0, tspan, tsteps, model = lorenz)
    prob = ODEProblem(lorenz, u0, tspan) 
    sol = Array(solve(prob, saveat = tsteps))
    return sol
end

Given initial condition, time span and time steps this function returns the data for the chosen model. Now, using the Hybrid method it is possible to input all this information to the model

using ReservoirComputing, Random
Random.seed!(42)

hybrid = Hybrid(prior_model_data_generator, u0, tspan_train, train_len)

esn = ESN(input_data,
    reservoir = RandSparseReservoir(300),
    variation = hybrid)

Training and Prediction

The training and prediction of the Hybrid ESN can proceed as usual:

output_layer = train(esn, target_data, StandardRidge(0.3))
output = esn(Generative(predict_len), output_layer)

It is now possible to plot the results, leveraging Plots.jl:

lorenz_maxlyap = 0.9056
predict_ts = tsteps[train_len+1:train_len+predict_len]
lyap_time = (predict_ts .- predict_ts[1])*(1/lorenz_maxlyap)

p1 = plot(lyap_time, [test_data[1,:] output[1,:]], label = ["actual" "predicted"], 
    ylabel = "x(t)", linewidth=2.5, xticks=false, yticks = -15:15:15);
p2 = plot(lyap_time, [test_data[2,:] output[2,:]], label = ["actual" "predicted"], 
    ylabel = "y(t)", linewidth=2.5, xticks=false, yticks = -20:20:20);
p3 = plot(lyap_time, [test_data[3,:] output[3,:]], label = ["actual" "predicted"], 
    ylabel = "z(t)", linewidth=2.5, xlabel = "max(λ)*t", yticks = 10:15:40);


plot(p1, p2, p3, size=(1080, 720), plot_title = "Lorenz System Coordinates", 
    layout=(3,1), xtickfontsize = 12, ytickfontsize = 12, xguidefontsize=15, yguidefontsize=15,
    legendfontsize=12, titlefontsize=20, left_margin=4mm)

hybrid

Bibliography

  • 1Pathak, Jaideep, et al. "Hybrid forecasting of chaotic processes: Using machine learning in conjunction with a knowledge-based model." Chaos: An Interdisciplinary Journal of Nonlinear Science 28.4 (2018): 041101.