Nonlinear Dynamics 23: 13–33, 2000.

© 2000 Kluwer Academic Publishers. Printed in the Netherlands.

On the Trajectory Method for the Reconstruction of

Differential Equations from Time Series

PAOLO PERONA, AMILCARE PORPORATO, and LUCA RIDOLFI

Dipartimento di Idraulica, Trasporti e Infrastrutture Civili, Politecnico di Torino,
Corso Duca degli Abruzzi 24, 10129 Torino, Italy

(Received: 12 November 1998; accepted: 20 December 1999)

Abstract. This work investigates the trajectory method [1] for the reconstruction of ordinary differential equations
(ODEs) from time series. The potentials of the method are analyzed for dynamical systems described by second-
and third-order ODEs, focusing in particular on the role of the parameters of the method and on the influence of the
quality of the time series in terms of noise, length and sampling frequency. Typical models are investigated, such
as the van der Pol, the linear mechanical, the Duffing and the Rössler equations, resulting in a robust and versatile
method which is capable of allowing interesting applications to experimental cases. The method is then applied
to the measured time series of a nonlinear mechanical oscillator, a typical velocity oscillation of the bursting
phenomenon in near-wall turbulence and the averaged annual evolution of rainfall, temperature and streamflow
over a hydrological basin.

Keywords: Reconstruction of differential equations, trajectory method, nonlinear analysis of time series.

1. Introduction

System identification has a long history in several engineering and physics fields. It un-
doubtedly represents one of the highest levels of experimental investigation where measured
data are not only used for the interpretation or the quantitative description of a phenomenon,
but also to infer information on the mathematical structure of the underlying system that has
given rise to the data itself.
System-identification methods can be divided into two main categories according to their
objective, which can be either the reconstruction of the mathematical form of the measured
data (i.e., a solution of the system) or the reconstruction of the equation of motion of the
underlying system. Whatever the type of method, when the mathematical form of the sought
model is known, the problem reduces to that of estimating the parameters of that model.
Conversely, in the case where the model structure is unknown, the problem also becomes
that of selecting a model with the most suitable mathematical form. In this case, the aim is
obviously much more ambitious but also much more difficult.
A great deal of difficulty is added when (as often occurs) nonnegligible nonlinearities are
present in the phenomenon under study. Unlike linear modeling for which a complete theory
exists, nonlinear modeling still lacks well-established identification algorithms. Nonlinear
systems are definitely more complex and this makes it very difficult to devise useful criteria
for selecting models that are capable of capturing the nonlinear dynamics without over fitting
the (ever-present) high-dimension disturbances [2, 3].
In this work, the interest is mainly devoted to the reconstruction of a mathematical model,
in terms of equations of motion directly obtained from experimental data. This possibility in
14 P. Perona et al.

fact represents a remarkable result when practicable. Once the model has been successfully
reconstructed, the equations can provide useful information on the nature of the interactions
between the basic variables or the degree and type of nonlinearities and can be used to study
the stability properties of the system or to analyze the system response to variations in the para-
meters or even to external forcing. The resulting model can also be used to mimic the behavior
of experimental time series for predictive purposes or to study more complex systems with
suitable coupling of low-dimension models. The results so far obtained are mostly limited to
time series of an excellent quality of low-dimension dynamical systems. However, even when
the system is not of a low dimension and the data are affected by noise, the reconstruction
can still be a useful means of approximation of the original system, provided the system has
strong low-dimension deterministic components. In such cases, the resulting system can be
used to model the basic dynamics and high-dimension disturbances can be easily included in
the form of a suitable stochastic forcing.
Methods of reconstruction of differential equations from data have been proposed in many
fields for some time (see, e.g., the review by Billings [2] for the early methods). Developments
in nonlinear time series analysis (e.g. [4]) have recently furnished new stimuli on this issue,
starting from the seminal work by Crutchfield and McNamara [5]. They suggested two dif-
ferent approaches for fitting analytical models to dynamical systems: one aimed at describing
the local dynamics, by exploiting the short-term behavior of the system, the other aimed at
approximating the dynamics of the entire attractor through the long-term behavior. Almost at
the same time, Cremers and Hübler [6] formalized the so-called flow method based only on
the analysis of the short-term behavior of the system in all the points of the corresponding
attractor. The flow method was later extended, by Breeden and Hübler [7], to the case where
not every system variable can be observed. By proposing the trajectory method, Eisenhammer
et al. [1] combined the characteristics of the short-term approach, which is typical of the flow
method, with those of the longer-term approach, as proposed by Crutchfield and McNamara
[5]. This resulted in an interesting method that is very promising for possible applications to
real cases. Since then, the variants and new methods have increasingly enriched this field of
studies (see, for example, [8–13]). At the same time attention has also been focused on related
issues, such as the nonlinear model selection problem [3, 14], the modeling of systems with
stochastic components [12, 15] or spatially extended systems [16]. The development of such
techniques has also fostered some interesting applications [1, 16–19].
This work focuses on the trajectory method to investigate the potentials when applied to
the case of two- and three-dimensional systems. The method employs nonlinear models which
are linear in the parameters, and this makes it suitable for optimization procedures based on
the least-squares method. Although the trajectory method can employ any form of function
basis in the model, in the following only polynomial developments will be considered, as these
already allow a sufficient flexibility in the modeling.
The paper is organized as follows. After these introductory remarks, a general outline of the
trajectory method is offered in Section 2. By applying the method to numerically-generated
series from known two-dimensional systems, the role of the method parameters, as well as
the effect of the series sampling frequency and the robustness of the method against both
dynamic and additive noise, are considered in Section 3. In the same section, the capacity of
the method to reconstruct the mathematical model, according to the trajectory geometry in
the phase space, is studied in relation to the amount of information contained in the portion
of the series used for the reconstruction. An extension of the analysis of Section 3 is given in
Section 4, where the method is applied to the reconstruction of the three-dimensional chaotic
 Trajectory Method for Reconstruction of ODEs from Time Series 15

Rössler attractor. The work ends with some concluding remarks after showing the encouraging
results of three applications carried out on measured time series.

2. The Trajectory Method

Let us consider a dynamical system described by a system of first-order ODEs

ẋ = f(x, t), (1)
where x is the variable vector and t is the time.
The problem of the reconstruction of the equation of motion consists of going back to a
function as close as possible to the original function f, once the time behavior of the system
variables is known. When the mathematical form of the original equation in unknown, the
possible mathematical forms of the model is fixed by choosing an appropriate function space
and the model that best fits the time series is sought within this space. The adopted model
should have a suitable number of variables to properly describe the complexity of the under-
lying system. As already mentioned in Section 1, the choice of the initial model, which may
be crucial to the success of the reconstruction, is a very complex problem when (as often
occurs) a nonlinear model is to be used [3]. Several models are employed; besides the most
common polynomial development [1, 6–8], the following has also been proposed: Chebyshev
polynomials [13], Legendre polynomials [17, 18], rational functions [10], radial basis func-
tions [3, 11], NARMAX models [12, 14], Volterra integrals [16] and system eigenfunctions
obtainable from the data via singular value decomposition [9]. As in experimental practice
it is very rare to be able to measure the time series of all the system variables, if the system
dimension is not too high and the measurement quality is good [20], the system evolution can
be reconstructed in a space, called the embedding space, equivalent to the real phase space,
by means of the Takens method or the successive derivative method [4]. If the reconstruction
of the embedding space is carried out properly, the final equation, although not exactly the
system equation, will be equivalent to the real f.
The trajectory methods assumes the ith component of the linear-in-the-parameter, nonlin-
ear differential model in the form
X
K
ẋi = ci,k Fi,k (x1 , x2 , . . . , xD ), (2)
k=1

for i = 1, . . . , D, where D represents the number of equation of the flow chosen for the model,
K the number of approximating functions Fi,k and ci,k the coefficients to be optimized.
Within the space of the K functions the trajectory method identifies the optimum form
through the information contained in the trajectory described by the system in the phase space,
considering, at the same time, the short and long-term behavior. Figure 1 shows the procedure:
after having established, from time to time, an initial condition (j = 1, . . . , jmax ) on the real
data xr (tn ) (n = 1, . . . , N), the method uses the equations of the model (Equation (2)) to ob-
tain an estimate xm of the successive states of the system at the instants (tj + 1tl ) for different
values of time interval 1tl . By repeating the operation for the different initial conditions xr
corresponding to the different tj , a quality function Q can be constructed as
X X
jmax lmax

Q= xm (tj + 1tl ) − xr (tj + 1tl ) , (3)
j =1 l=1
16 P. Perona et al.

Figure 1. Graphical overview of the trajectory method in the phase space. The squares indicate the initial states.

where k · k is the Euclidean norm and xr and xm are the real states and the states recon-
structed by the model, respectively. It is important to stress the importance of the choice of
proper initial states xr (tj ); although the ideal choice should be that of considering all the
experimental points, only a part is actually considered here due to reasons of computational
efficiency. A delay d is therefore adopted between two successive initial states (Figure 1).
The parameter 1tl represents the extent to which the medium and long-term behavior of the
system is considered. In this work, the law of variation of 1tl has been chosen in accordance
to that recommended by Eisenhammer et al. [1]


1tl = h 2l−1 , (4)

where h is the time step with which the original data are sampled and l is the number of points
used for comparison between the single reconstructed trajectory and the original trajectory,
starting from the initial state set on the latter. Other choices are possible for 1tl [1]. However,
more than the mathematical form which expresses it, the really important parameter is the
amplitude 1tlmax , which measures the extent to which information is considered from time to
time in the future.
The optimum values of the coefficients ci,k are obtained through a minimization process of
quality function (Equation (3)) using the least-squares method, i.e. iteratively looking for the
condition

Qmin = min Q (5)

ci,k

in the coefficient space (i = 1, . . . , D; k = 1, . . . , K). The quality function (Equation (3))

can be written in terms of components by writing the future state as the time evolution of the
model
v
u  2
u tj +1tl
X X uX  Z
jmax lmax u D

Q= t  ẋmi (τ ) dτ + xmi (tj ) − xri (tj + 1tl ) . (6)
j =1 l=1 i=1 tj
 Trajectory Method for Reconstruction of ODEs from Time Series 17

Considering the model (Equation (2)), the integrals in Equation (6) can be developed as
tjZ+1tl

ẋmi (τ ) dτ = xmi (tj + 1tl ) − xmi (tj )

tj

tjZ+1tl tjZ+1tl

= ci,1 Fi,1 (τ ) dτ + ci,2 Fi,2 (τ ) dτ

tj tj

tjZ+1tl tjZ+1tl

+ ci,3 Fi,3 (τ ) dτ + · · · + ci,K Fi,K (τ ) dτ. (7)

tj tj

Equation (7) expresses the variation of component xmi (t) in the interval [tj , tj + 1tl ]. Since
the integrals included therein cannot be analytically solved (as all the respective integrating
functions are unknown functions), these have to be numerically solved once the functions
xmi (t) have been obtained by numerical integration of model (Equation (2)).
By setting the partial derivatives of Equation (6) made with respect to each unknown
coefficient ci,k to zero, an algebraic linear system is obtained for each component of the flow
i = 1, . . . , D, i.e.
!
∂Q X K
= ci,z Ak,z − Bk(i) = 0, k = 1, . . . , K,
(i)
(8)
∂ci,k z=1

where k = 1, . . . , K and the terms A(i) (i)

k,z and Bk have the following general form
  
tjZ+1tl
XX
jmax lmax

 
Bk(i) =  xri (tj + 1tl ) − xmi (tj )  Fi,k (τ ) dτ  , (9)
j =1 l=1 tj

  
tjZ+1tl tjZ+1tl
X X
jmax lmax
  
A(i)
k,z =  Fi,k (τ ) dτ   Fi,z (τ ) dτ  . (10)
j =1 l=1 tj tj

The index k refers to the coefficient with respect to which Equation (6) has been derived.
The matrix A in general is not singular and is hence reversible. Thus, by solving the system
in terms of ci,k , one obtains a new set of coefficients to be used for a new optimization
cycle and these are then reinserted in the model (Equation (2)) for the successive iteration.
Figures 2a–2d show an example taken from the reconstruction procedure applied to the limit
cycle of the van der Pol system to be discussed hereafter. At the first iteration (Figure 2a),
the trajectories calculated with the first attempt coefficients are very different from the real
trajectories and the initial states are the only points to lie on the original trajectory. During
successive iterations (Figures 2b–2d) the solutions of the algebraic systems (Equation (8))
lead to sets of coefficients which gradually minimize the error expressed by quality function
Q and the model trajectories are increasingly close to the real trajectory, until they converge
to the set of coefficients that actually corresponds to those of the original differential equation.
18 P. Perona et al.

Figure 2. Example of reconstruction by the trajectory method for the van der Pol system at the first (a), second
(b), fifth (c) and twentieth iteration (d).

3. Characteristics and Potentials of the Method

In order to study the characteristics and potentials of the method, the trajectory method has
been applied to some well-known dynamical systems. In particular, since the method is partic-
ularly effective for low-dimension systems, and also for the sake of clarity in the interpretation
of the results, the numerical investigation has dealt with two-dimensional systems where the
second component is obtained by time derivation of the first one and is approximated with a
complete third-degree polynomial in the two variables, i.e.,

 ẋ1 = x2 ,
ẋ2 = c1 + c2 x1 + c3 x12 + c4 x2 + c5 x22 + c6 x1 x2 + c7 x12 x2 (11)

+ c8 x1 x22 + c9 x13 + c10 x23 ,
 Trajectory Method for Reconstruction of ODEs from Time Series 19

with 10 coefficients to recover. Despite its relative simplicity, this form presents a sufficient
number of terms to properly describe the major nonlinearities without, at the same time,
making the reconstruction algorithm too cumbersome.

3.1. I NFLUENCE OF THE PARAMETERS

As previously stated, the trajectory method is governed by two basic parameters: the number
jmax of the initial states chosen on the original trajectory, xr (tn ), and the maximum time
interval up to which the model is integrated starting from the initial condition, 1tlmax (or lmax
in compliance with Equation (4)). As regards the former, it has been stated that, for reasons
of numerical efficiency, it is recommended that jmax < N. In general, once the number of
initial states is fixed, the corresponding positions on the original trajectory are chosen in an
equally spaced manner with a time delay equal to d times the sampling interval. Throughout
this work, it will also be seen that, by appropriately placing the initial states along trajectory
portions with significant curvature, the information concerning the system dynamics will be
better exploited.
The choice of parameter lmax allows one to weigh the short or long-term behavior of the
system. For low values of lmax , only a few steps can be analyzed in the future. Conversely,
when it is set at an excessively high value (approximately higher than 12), instability problems
of the algorithm often take place during optimization. It is therefore reasonable to think of the
existence of an optimum lmax with which, after setting the number of initial states and the
number of iterations, the reconstruction takes place in the best way. When lmax = 1 and in
the event that all the experimental data should be considered as initial states, the trajectory
method would coincide with the flow method proposed in [6].
Since the iteration process sometimes does not converge to the actual coefficients with
∗
an imposed precision Emax (although reaching convergence to very low values of the quality
function Q), a variable G = G(jmax , lmax ) has been introduced to obtain the most reliable
possible comparison between different (jmax , lmax ) couples. This function is defined as
 ∗
Q, Emax ≤ Emax ,
G(jmax , lmax ) = ∗ (12)
Emax , Emax > Emax ,
where Emax is the sum (calculated after each iteration) of the absolute errors of the coefficients
∗
obtained in comparison with those of the original system. Once the threshold Emax is fixed,
∗
if the condition for accurate convergence Emax ≤ Emax is fulfilled, the couples of parameters
(jmax , lmax ) are compared in terms of quality function Q, otherwise the ‘goodness’ of the
reconstruction is directly evaluated by means of Emax . As will be seen, this latter case may
happen when lmax is very low and the reconstructed model only approximates the original
system for a short time to then diverge or settle onto another time trend in the long run.
The number of initial states on the original trajectory has been chosen according to jmax =
2p−1 (p = 1, . . . 9) and the initial states have been taken equally spaced along the original
trajectory for all the tests considered in the following. The time series have been generated by a
numerical integration of the equation of motion with a fourth-order Runge–Kutta algorithm.
1. The first example analyzed regards the van der Pol system

ẋ1 = x2
(13)
ẋ2 = u(x02 − x12 )x2 − ω2 x1 ,
with u = 0.2, x0 = 4 and ω = 2. According to Equation (11) the nonzero coefficients
are c2 = −4, c4 = 3.2 and c7 = −0.02. For such values, the system has the limit cycle
20 P. Perona et al.
Table 1. Coefficients of the van der
Pol system when the reconstruc-
tion reaches the imposed precision
(Emax < 10−3 ).

Coefficients Values

c2 −3.9997 · 100
c4 3.1998 · 100
c7 −1.9998 · 10−1
others |c| < 4.0121 · 10−6

Figure 3. Phase portrait of the limit cycle for the van der Pol system. States A and B are the different initial states
used for testing the sensitivity of the method to the trajectory curvature.

shown in Figure 3. The reconstruction process has been applied excluding the data of the
transient and analyzing 3600 values integrated with step h = 0.001 which corresponds to
one complete cycle. In order to also highlight the effects of the trajectory curvature, which
is an index of the degree of information contained therein, the reconstruction process has
been carried out by considering two different positions of the initial states: in one case,
the first initial state has been fixed in the point where the trajectory tangent is parallel to
the x1 axis, while, in the second case, it has been fixed in the point where the tangent
is parallel to the x2 axis (points A and B, respectively, in Figure 3). Figure 4a shows
function G, which has always been identified with Q for the first case. It can be observed
that when only one initial state is considered (p = 1), the reconstruction never takes place
successfully, as the algorithm diverges, whereas if p is equal to 2, it is necessary to analyze
the trajectory for a remarkable length (lmax > 8) to ensure convergence. This points out
how important it is for the reconstruction to consider the medium and long-term behavior,
which results to be necessary to ensure the convergence when the number of initial states
is small (Table 1). Figure 4a also shows that the reconstruction with lmax = 1 fails until the
 Trajectory Method for Reconstruction of ODEs from Time Series 21

Figure 4. Landscape of the G function at the twentieth iteration plotted versus p (Equation 13) and lmax for the
van der Pol system (crosses refer to the case where the algorithm does not converge; triangles where the function
G coincides with Q and circles where function G coincides with Emax ). Cases (a) and (b) correspond to different
sampling frequencies, (h = 0.001 and h = 0.01, respectively).

number of initial states is lower than 16, that is to say, the flow method has to consider a
remarkable number of experimental points as initial states in order to achieve satisfactory
results. When the initial point coincides with B (not shown), convergence is impossible
for p < 4. Furthermore, in the cases where there is convergence, the values of the cost
function are systematically higher than in the previous case.
2. The second example concerns a linear under-damped mechanical oscillator, with con-
centrated parameters, integrated with h = 0.001 for 10000 steps. The corresponding
trajectory in the phase space is a spiral directed towards the punctual attractor situated
at the origin of the axes. Also for this example, the trend of function G (not shown) is
very similar to the one of the van der Pol system. Unlike the van der Pol model, however,
there are some couples (jmax , lmax at low values of p for which the coefficients obtained
do not show the accuracy required (i.e., the error never reaches the minimum threshold
∗
Emax , here equal to 10−3 ), although the algorithm converges.
3. The third example is a time series (3600 data, h = 0.001) obtained by integrating the
Duffing system


 ẋ1 = x2 ,
c k kµ 3 (14)

 ẋ2 = − x2 − x1 − x1 ,
m m m
with m = 50, k = 2500, c = 200 and µ = 0.5 (c2 = −50, c4 = −4 and c9 = −25).
The function G, shown in Figure 5, underlines how the area where the convergence of
the reconstruction algorithm complies with the conditions on the maximum error, is much
more limited. The flow method can never sufficiently guarantee accurate reconstruction
for this system and it is necessary to exploit the points related to the medium and long-
term behavior in order to obtain satisfactory results (see Table 2). However, beyond certain
values of parameter lmax (here lmax > 7), the reconstruction cannot take place, in that the
22 P. Perona et al.

Figure 5. Landscape of the G function at the twentieth iteration plotted versus p and lmax for the Duffing system
(crosses refer to the case where the algorithm does not converge; triangles where the function G coincides with Q
and circles where function G coincides with Emax ).

Table 2. Reconstruction of the

Duffing system with lmax = 5,
jmax = 64, d = 52, after 20
iterations.

Coefficients Values

c2 −4.9999 · 101
c4 −4.0000 · 100
c9 −2.5000 · 101
others |c| < 4.8141 · 10−5

algorithm diverges during the optimization process thus confirming the existence of an
optimum region in domain (jmax , lmax ).
4. A further example is represented by the simple damped pendulum

 θ̇1 = θ2 ,
(15)
 θ̇2 = −uθ2 − g sin(θ1 ),
l
where g is the gravitational acceleration and θ1 is the angle described by the pendulum
with respect to the vertical. Setting u = −0.25 and l = 2, the system (Equation 15)) has
been integrated with step h = 0.01 and with the initial conditions (θ1 , θ2 ) = (1, 0), to
generate 2000 values. The interesting fact is that the sinusoidal term which is not present
in the polynomial model (Equation (11)) is, however, recognized and approximated. As a
result, the only nonzero coefficients in the reconstructed model are the first two terms of
the Taylor development of the original model, i.e. c2 = −4.9006 ∼ = −g/ l = −4.905 and
c9 = 0.798164 ∼ = −g/6l = 0.8175. As expected, the smaller the initial release angle of
the pendulum, the more accurate is the reconstruction.
 Trajectory Method for Reconstruction of ODEs from Time Series 23
Table 3. Coefficients of the van
der Pol system with additive dy-
namical noise after convergence
(jmax = 256, lmax = 7).

Coefficients Values

c1 1.0314 · 100
c2 –4.0571 · 100
c3 –3.7721 · 10−2
c4 3.1374 · 100
c5 4.3640 · 10−3
c6 –8.3031 · 10−4
c7 –1.9648 · 10−1
c8 –4.7355 · 10−4
c9 5.2319 · 10−4
c10 1.0485 · 10−4

The analyzed systems provide a sufficient overview for the following statements. The pos-
sibility of exploiting the information contained in the medium and long-term behavior can be
essential to the success of the reconstruction. This also implies that the trajectory method is
applicable without necessarily using all the experimental data as initial states. Furthermore,
the analysis of the medium and long-term behavior allows one to catch some effects in the
trajectory curvature which, in some cases, prove to be essential for the reconstruction. A
well-pondered choice of (jmax , lmax ) provides the method with the best use of the information
contained in the series.

3.2. I NFLUENCE OF THE S AMPLING F REQUENCY

In order to test how the sampling frequency affects what was stated in the previous section, the
same time series have been de-sampled removing nine data out of ten. The results show that,
both in the case of the van der Pol (Figure 4b) and the mechanical systems, the de-sampling
reduces the number of couples (jmax , lmax ) where the reconstruction attains the required preci-
sion and also tends to reduce the useful value of lmax to values lower than 7. Finally, the tests on
the van der Pol system again highlight, even more dramatically, the advantage of the choice to
fix the first initial state on portions with a higher curvature. In the case of the Duffing system,
the de-sampling has proven to be too unfavorable, making the convergence to the exact values
impossible for any choice of parameters. When the de-sampling is reduced to one value out
of five, convergence to the proper coefficients is obtained, but only for a reduced number of
couples (jmax , lmax ).

3.3. E FFECTS OF N OISE AND E XTERNAL F ORCING

When aiming to evaluate the actual possibilities of applying the method to real data, it is
important to study the effects of noise and external forcing both when they act dynamically
on the system and when they are simply added to the resulting time series. As a first case,
the additive dynamic noise has been considered. A Gaussian random term of disturbance with
24 P. Perona et al.

Figure 6. Phase portraits of the van der Pol system with additive dynamical noise (a) and of the reconstructed
system (b).

Figure 7. Landscape of the G function (here always equal to Emax ) plotted versus p and lmax for the van der Pol
system with dynamical noise.

2
zero mean and variance σnoise has been added to the second equation of Equation (13). The
2
reconstruction has been tested on four different series obtained for values of σnoise equal to 50,
100, 200 and 500. Figure 6a shows an example of the phase portrait for σnoise = 200, while
2

Figure 6b shows the corresponding reconstructed model. The behavior of function G (now
always equal to the total error in that the presence of noise makes it impossible to obtain the
2
precise values of the original coefficients), is presented in Figure 7 for the case of σnoise = 200.
In all the cases, regardless of the disturbance level, it has been noted that a minimum of
error takes place for those couples (jmax , lmax ) which use a sufficient number of initial states
and consider the medium and long-term behavior. Under such conditions, the reconstruction
 Trajectory Method for Reconstruction of ODEs from Time Series 25

Figure 8. Phase portraits of the van der Pol system with additive observational noise (a) and of the reconstructed
system (b).

gives good results, even with high noise levels. It should also be noted that as the noise
variance increases, the reconstruction also involves the known term of the model (Table 3).
The trajectory method also proves to be robust when considering the additive observational
noise, as could be the case for measurement errors. This has been modeled as a Gaussian
disturbance with zero mean and variance equal to a percentage of the variance of the ori-
ginal signal. Figure 8a shows the trajectory that corresponds to the van der Pol series plus a
disturbance with variance equal to 2% of those of the van der Pol series. The reconstruction
with jmax = 50 and lmax = 7 still adequately represents the van der Pol system (Figure 8b),
performing a sort of data filtering. The effect entailed by the coefficient variation seems to
turn into a variation of the initial transient, as well as into a slight flattening of the cycle
itself. It is also interesting to notice how in this case, whatever the number of initial states, the
reconstruction process diverges after a few integration steps when lmax = 1.
Several tests have also been performed adding periodic oscillations with different frequen-
cies to the time series. In this case, the reconstruction seems to tolerate better a noise with high
frequency compared to the signal frequency, since a low frequency noise deforms the cycle in
its fundamental form, while a disturbance with a higher frequency (at least 5–10 times higher
than that of the limit cycle) overlaps the limit cycle with oscillations around the original curve
and these can be more easily averaged out.

3.4. R ECONSTRUCTION FROM P ORTIONS OF T RAJECTORY

To investigate the reconstruction capacity of the method when analyzing only short trajectory
portions, only the initial transient (2000 values sampled with step h = 0.001) leading to the
van der Pol limit cycle (Figure 3, box 1) has been considered. In this case, reconstruction
takes place very quickly: after only 10 cycles, the coefficients listed in Table 4 are obtained
(the optimum case corresponds to jmax = 30, lmax = 7 and d = 60). The short-term approach
26 P. Perona et al.

(lmax = 1) also provides good results, although in this case any further de-sampling would
make reconstruction impossible.
Working on short trajectory portions, the importance of their curvature as a source of
information on the system is even more evident. For the portion of curve contained in box
2 of Figure 3, which includes 500 values, the reconstruction quickly converges to the exact
values. The original coefficients can be already obtained after only five iterations (jmax = 14,
lmax = 6, d = 33). Conversely, for the trajectory portion shown in box 3, with a very small
curvature, the results are not so favorable. In this case, a numerical instability of the algorithm
occurs and the coefficients oscillate in an apparently random manner around an average value
rather than the exact one. The reason of this lies in the behavior of the cost function, which
always has very small values, during the reconstruction, and becomes practically constant
after the first three of four iterations. The subsequent lack of a well-defined minimum makes
the algorithm unstable, and hampers its convergence.

4. A Three-Dimensional Case: The Rössler Attractor

Let us now consider the three-dimensional Rössler dynamical system


 ẋ1 = −x2 − x3 ,
ẋ2 = x1 + 0.38x2 , (16)

ẋ3 = 0.3x1 − 4.5x3 + x1 x3 .
As this system shows chaotic dynamics, where there is a continuous creation of information
and the trajectories never return on the same path, it is inherently more complex than the pre-
vious examples. It is therefore well suited to further investigate the potentials and robustness
of the trajectory method both with respect to its more complex long-term dynamics and to the
higher dimensionality of the system.
The reconstruction has been carried out starting from a series of 10000 values with step
0.01 and again assuming a complete third-degree polynomial as the generic flow component
(i = 1, 2, 3) of the form

ẋi = ci,1 + ci,2 x1 + ci,3 x2 + ci,4 x3 + ci,5 x1 x2 + ci,6 x1 x3 + ci,7 x2 x3

+ ci,8 x12 + ci,9 x22 + ci,10 x32 + ci,11 x1 x2 x3 + ci,12 x12 x2
+ ci,13 x12 x3 + ci,14 x22 x1 + ci,15 x22 x3 + ci,16 x32 x1 + ci,17 x32 x2
+ ci,18 x13 + ci,19 x23 + ci,20 x33 . (17)

The method converges very quickly to the original coefficients (Table 5), setting all 53
remaining coefficients to zero. Even when only short portions of the trajectory are considered,
reconstruction can take place very successfully. In this case, however, the type of the trajectory
portion which is considered becomes fundamental for convergence. As an effective example
of this fact, Figures 9a and 9b show two different trajectory portions for which the reconstruc-
tion is achieved only in the second case (Figure 9b) thanks to the information of the third
component that calls into play the essential nonlinearity xz.
 Trajectory Method for Reconstruction of ODEs from Time Series 27
Table 4. Coefficients of the van der
Pol system at the 10th iteration
(jmax = 30; lmax = 7; d = 60).

Coefficients Values

c2 –4.0000 · 100
c4 3.2000 · 100
c7 2.0001 · 10−1
others |c| < 2.9842 · 10−5

Table 5. Reconstructed coefficients

of the Rössler system after 20 iter-
ation with (jmax = 90; lmax = 6;
d = 100).

Coefficients Values

c1,3 –1.00006 · 100

c1,4 –9.99998 · 10−1
c2,2 1.000001 · 100
c2,3 3.799996 · 10−1
c3,2 3.000097 · 10−1
c3,4 –4.499967 · 100
c3,6 9.999621 · 10−1
others |c| < 10−4

5. Application to Measured Time Series

5.1. M ECHANICAL O SCILLATOR WITH O NE D EGREE OF F REEDOM

The trajectory method is here applied to the displacement series of a mechanical system
with one physical degree of freedom (Figures 10a and 10b). The series has been obtained
by means of a position transducer of the Linear Variable Differential Transformer (LVDT)
type, applied on a mass plate of 15.74 kg constrained by sliding on rolling bearings within
four vertical guides and subject to the action of four identical springs with unit stiffness
equal to 2488 N/m. The nonlinearities contained in the system are attributable to the two
main damping forms present in the system: the internal damping of the material of the elastic
element and the Coulomb damping due to the sliding of the bearings within the guides. As
only the series of the vertical transfers of the system was available, the phase space has been
constructed, obtaining the velocity series by numerical derivation. A first reconstruction, based
on the series obtained in this way, has proven to be too sensitive to the errors caused by the
derivation operation. Only after the velocity series was carefully filtered trying to eliminate
such errors, did the algorithm rapidly reach the convergence to a system that was able to
mimic the real one (Figures 10a and 10b). The figures witness the excellent result achieved
for the first part that was accessible to the model. The difficulty of the model (Equation (11)) to
28 P. Perona et al.

Figure 9. Time series and relative phase portraits of the chaotic Rössler attractor for the first 700 steps. (a) Phase
portraits of the first 500 steps and (b) where reconstruction occurs only in this second case, when nonlinearities of
the third component are comparable with the others.

Figure 10. Comparison between the real (dotted line) and the reconstructed time series (continuous line) of the
SDOF mechanical system: (a) first part and (b) final part of the oscillation.
 Trajectory Method for Reconstruction of ODEs from Time Series 29

Figure 11. Time series of the conditionally averaged velocity.

reconstruct the evolution governed by Coulomb damping is intrinsic to the polynomial form
which cannot model the discontinuity shown by the sliding friction force where the system
velocities change sign. Vice-versa, the coefficient relevant to the system frequency obtained
from the reconstruction complies with the original coefficient and allows one to go back, while
only knowing the value of the oscillating mass and the displacement sequence, to estimate the
value of the total stiffness of the system (∼ 9945 N/m).

5.2. A N E XPERIMENTAL E QUATION FOR THE B URSTING C YCLE

This second application regards the time series of the typical turbulent velocities during burst-
ing events in wall-turbulence. Such a phenomenon is due to the formation and subsequent
instability of coherent structures (for a review, see [21]). From a dynamic point of view, many
studies have suggested that coherent structures correspond to a simplification of the dynamics
compared to the basic turbulence and looking for a simple equation for the velocity oscillation
does not seem, therefore, to be unreasonable. The time series used for the reconstruction
(consisting of 800 values sampled with a constant step equal to 10,782 ms) has been obtained
through conditional sampling of the longitudinal velocity measured by means of a Doppler
laser in a hydraulically smooth pipe flow (Figure 11). The Reynolds number of the flow is
equal to 7000 and the measurement point is set at a distance of 15 viscous length scales from
the wall [21].
The time series of the normalized conditionally average velocity shown in Figure 11 has
been used as the first component of the model (Equation (11)), while the second component x2
has been obtained by numerical derivation. The reconstruction made with jmax = 95, lmax =
4 and d = 8 has provided a model that is able to faithfully mimic the whole oscillation
(Figure 12a). A comparison between the velocity time series of the original system and the
reconstructed model (Figure 12b), shows the excellent result achieved, thus supporting the
possibility that the simple equation obtained from the reconstruction could actually capture
some aspects of the dynamics of the phenomenon (for further details and a discussion of the
equation, see [22]).
30 P. Perona et al.

Figure 12. (a) Comparison between the real (dotted line) and the reconstructed time series (continuous line) during
the bursting event. (b) Comparison in the plane between the real bursting cycle (dotted line) and the reconstructed
one (continuous line).

Figure 13. Time series of the conditionally averaged velocity obtained from the reconstructed equation time series
forced with colored noise; (a) real and (b) reproduced one.
 Trajectory Method for Reconstruction of ODEs from Time Series 31

Figure 14. (a) Time series of the annual average of rainfall, temperature and streamflow of the Dora Baltea river
basin and (b) corresponding phase space trajectory (x1 = rainfall, x2 = temperature, x3 = streamflow).

Ongoing analyzes on the obtained equation show remarkable analogies with the real phe-
nomenon. As an example of this, which also underlines the importance of reconstructing a
system of differential equations and not just a mere solution, Figures 13a and 13b show a
comparison between the original time series and that obtained after dynamically forcing the
reconstructed equation with a colored noise. The similarity of the behaviors supports the idea
that coherent structures are low-dimension elements forced by the quasi-random turbulent
fluctuations of the outer flow.

5.3. C LIMATIC D ESCRIPTION OF A R IVER BASIN

This third application concerns the dynamics of a hydrographic mountain basin and aims
at obtaining the dynamical link between rainfall, temperature and streamflow, which are the
essential variables in the dynamics. The basin under examination is that of the Dora Baltea
river (Northern Italy) which has an extension of 3313 km2 of which 5.7% is a glacial area.
Its hydrological regime is of a glacio-nival kind. The daily data of mean discharge and total
rainfall and mean temperature over the basin (available from 1 January 1968 to 31 December
1981) have been averaged on an annual basis to obtain the typical annual behavior and then
low-pass filtered to smooth out the high-dimension oscillations due to the short-term meteor-
ological variations. The resulting series are shown normalized in Figure 14a. These clearly
reveal the low-frequency dynamics which are typical of the seasonal climatic behavior. The
complex dynamical link between these is evident in the corresponding phase space shown in
Figure 14b.
The reconstruction was conducted using the three-dimensional model (Equation (17)) and
assuming a periodical annual behavior. With jmax = 73, lmax = 6 and d = 32, the reconstruc-
tion converges to a system with behavior which is practically identical to (and graphically
indistinguishable from) that of the original series. From a hydrological point of view, this
first result is in agreement with the approach to the climatic systems considered as systems
with predominant low-dimension components (see, for example, [23]) and opens the door to
successive studies aimed at investigating the dynamical link between these three fundamental
variables as well as the sensitivity of the model to small variations in the parameters.
32 P. Perona et al.

6. Conclusions

In this work, the trajectory method proposed for the reconstruction of ordinary differential
equations from time series has been investigated. The tests carried out have revealed an ef-
fective and versatile instrument for the mathematical modeling of experimental data, at least
for systems which can be described by second- and third-order ODEs. The best quality of the
trajectory method is the possibility to encompass and weigh not only the short-term behavior
of the system, but also its medium and long-term behavior in the reconstruction process by
acting on the method parameters. The method is easily applicable to systems with point
attractors, limit cycles and also strange attractors. The method seems effective, even when
it analyzes only portions of trajectories or initial transients, provided these have a certain
curvature and contain a sufficient number of points.
The method has also proven to be robust as far as under-sampled and noisy data are con-
cerned, often allowing one to go back to the differential equations of the theoretical model or,
at least, to a model that mimics the behavior of the series.
The potentials of the trajectory method have been further revealed by the application to
measured time series of three different systems. In the case of the mechanical oscillator, the
reconstructed nonlinear differential equation has not only well described the systems, but has
also allowed an estimate of the frequency and stiffness of the system. Similar encouraging
results have been achieved with the time series of the velocity that is typical of the bursting
cycle in a turbulent flow and with a three-series representation of the averaged annual climatic
cycle of a hydrological basin.

Acknowledgments

The authors would like to thank Bruno Piombo and Luigi Garibaldi for providing the time
series of the mechanical oscillator used in Section 4.1. Thanks are also due to the anonymous
referees whose comments and suggestions have essentially improved the general profile of the
work.

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