In science, we are often interested in obtaining a generative model of the underlying system dynamics from observed time series. While powerful methods for dynamical systems reconstruction (DSR) exist when data come from a single domain, how to best integrate data from multiple dynamical regimes and leverage it for generalization is still an open question. This becomes particularly important when individual time series are short, and group-level information may help to fill in for gaps in single-domain data. Here we introduce a hierarchical framework that enables to harvest group-level (multi-domain) information while retaining all single-domain characteristics, and showcase it on popular DSR benchmarks, as well as on neuroscience and medical data. In addition to faithful reconstruction of all individual dynamical regimes, our unsupervised methodology discovers common low-dimensional feature spaces in which datasets with similar dynamics cluster. The features spanning these spaces were further dynamically highly interpretable, surprisingly in often linear relation to control parameters that govern the dynamics of the underlying system. Finally, we illustrate transfer learning and generalization to new parameter regimes, paving the way toward DSR foundation models.

Many, if not most, systems of interest in science are naturally described as nonlinear dynamical systems. Empirically, we commonly access these systems through time series measurements. Often such time series may consist of discrete random variables rather than continuous measurements, or may be composed of measurements from multiple data modalities observed simultaneously. For instance, in neuroscience we may have behavioral labels in addition to spike counts and continuous physiological recordings. While by now there is a burgeoning literature on deep learning for dynamical systems reconstruction (DSR), multimodal data integration has hardly been considered in this context. Here we provide such an efficient and flexible algorithmic framework that rests on a multimodal variational autoencoder for generating a sparse teacher signal that guides training of a reconstruction model, exploiting recent advances in DSR training techniques. It enables to combine various sources of information for optimal reconstruction, even allows for reconstruction from symbolic data (class labels) alone, and connects different types of observations within a common latent dynamics space. In contrast to previous multimodal data integration techniques for scientific applications, our framework is fully generative, producing, after training, trajectories with the same geometrical and temporal structure as those of the ground truth system.

Data-driven inference of the generative dynamics underlying a set of observed time series is of growing interest in machine learning and the natural sciences. In neuroscience, such methods promise to alleviate the need to handcraft models based on biophysical principles and allow to automatize the inference of inter-individual differences in brain dynamics. Recent breakthroughs in training techniques for state space models (SSMs) specifically geared toward dynamical systems (DS) reconstruction (DSR) enable to recover the underlying system including its geometrical (attractor) and long-term statistical invariants from even short time series. These techniques are based on control-theoretic ideas, like modern variants of teacher forcing (TF), to ensure stable loss gradient propagation while training. However, as it currently stands, these techniques are not directly applicable to data modalities where current observations depend on an entire history of previous states due to a signal’s filtering properties, as common in neuroscience (and physiology more generally). Prominent examples are the blood oxygenation level dependent (BOLD) signal in functional magnetic resonance imaging (fMRI) or Ca$^{2+}$ imaging data. Such types of signals render the SSM's decoder model non-invertible, a requirement for previous TF-based methods. Here, exploiting the recent success of control techniques for training SSMs, we propose a novel algorithm that solves this problem and scales exceptionally well with model dimensionality and filter length. We demonstrate its efficiency in reconstructing dynamical systems, including their state space geometry and long-term temporal properties, from just short BOLD time series.

Empirically observed time series in physics, biology, or medicine, are commonly generated by some underlying dynamical system (DS) which is the target of scientific interest. There is an increasing interest to harvest machine learning methods to reconstruct this latent DS in a data-driven, unsupervised way. In many areas of science it is common to sample time series observations from many data modalities simultaneously, e.g. electrophysiological and behavioral time series in a typical neuroscience experiment. However, current machine learning tools for reconstructing DSs usually focus on just one data modality. Here we propose a general framework for multi-modal data integration for the purpose of nonlinear DS reconstruction and the analysis of cross-modal relations. This framework is based on dynamically interpretable recurrent neural networks as general approximators of nonlinear DSs, coupled to sets of modality-specific decoder models from the class of generalized linear models. Both an expectation-maximization and a variational inference algorithm for model training are advanced and compared. We show on nonlinear DS benchmarks that our algorithms can efficiently compensate for too noisy or missing information in one data channel by exploiting other channels, and demonstrate on experimental neuroscience data how the algorithm learns to link different data domains to the underlying dynamics.

A major tenet in theoretical neuroscience is that cognitive and behavioral processes are ultimately implemented in terms of the neural system dynamics. Accordingly, a major aim for the analysis of neurophysiological measurements should lie in the identification of the computational dynamics underlying task processing. Here we advance a state space model (SSM) based on generative piecewise-linear recurrent neural networks (PLRNN) to assess dynamics from neuroimaging data. In contrast to many other nonlinear time series models which have been proposed for reconstructing latent dynamics, our model is easily interpretable in neural terms, amenable to systematic dynamical systems analysis of the resulting set of equations, and can straightforwardly be transformed into an equivalent continuous-time dynamical system. The major contributions of this paper are the introduction of a new observation model suitable for functional magnetic resonance imaging (fMRI) coupled to the latent PLRNN, an efficient stepwise training procedure that forces the latent model to capture the 'true' underlying dynamics rather than just fitting (or predicting) the observations, and of an empirical measure based on the Kullback-Leibler divergence to evaluate from empirical time series how well this goal of approximating the underlying dynamics has been achieved. We validate and illustrate the power of our approach on simulated 'ground-truth' dynamical systems as well as on experimental fMRI time series, and demonstrate that the learnt dynamics harbors task-related nonlinear structure that a linear dynamical model fails to capture. Given that fMRI is one of the most common techniques for measuring brain activity non-invasively in human subjects, this approach may provide a novel step toward analyzing aberrant (nonlinear) dynamics for clinical assessment or neuroscientific research.