Estimation and learning of Dynamic Nonlinear Networks (DyNNets)

Abstract

Learning high-dimensional systems from data is often computationally challenging in the presence of nonlinearities and dynamics. This paper proposes a novel approach for identification of high-dimensional systems based on decomposing systems into networks of low-dimensional linear dynamical subsystems with memoryless, scalar nonlinear feedback elements and memoryless, linear interactions. The proposed model, called Dynamic Nonlinear Networks (DyNNets), can encompass a wide range of complex phenomena and is particularly well-suited for modeling neuronal systems. It is shown that the posterior density of the hidden states given the unknown parameters of a DyNNet admits a factorable structure that separates the linear dynamics, memoryless nonlinearities, and linear interactions. This factorization enables efficient implementation of maximum a posteriori (MAP) state estimation and system identification via the alternating direction method of multipliers (ADMM). The methodology is illustrated on estimation of neural mass models.