Abstract:We develop a branched signature kernel solver for linear and nonlinear ordinary differential equations driven by a \emph{single observed trajectory} of a possibly rough forcing signal -- a setting that arises naturally in earthquake engineering, finance, biology, and structural health monitoring, where the forcing is observed exactly once and the solver must respect the underlying physical law without recourse to an ensemble of realizations. Two ingredients are new. First, a \emph{count-sampling} construction turns the single observation into a hierarchical family of $N+1$ nested training paths on which the branched signature kernel can be evaluated; this allows the signature kernel machinery, originally designed for multi-realization regression problems, to operate on a single-trajectory observation. Second, a kernel-collocation framework places the ansatz either on the highest-order derivative of the solution (with lower derivatives recovered by integrating the kernel) or on the solution itself (after $m$-fold integration of the ODE). We prove a universal approximation theorem for the branched signature kernel, leveraging the Hairer--Kelly morphism to express branched signature evaluations through geometric signatures of time-extended paths. The offline solver is extended to a streaming Test/Train/Retrain protocol with closed-form online updates in the linear case and scalar Newton steps in the nonlinear case. Numerical experiments on six benchmarks (El-Centro earthquake displacement, the Solow capital-stock model, an fBM-driven second-order ODE, a forced Duffing oscillator, a path-dependent Arias-intensity-degraded oscillator with variable coefficients, and a noisy Kuramoto phase-oscillator system) show that the branched signature-kernel solver delivers accurate, stable predictions across all regimes.
| Comments: | 39 pages, 12 figures |
| Subjects: | Numerical Analysis (math.NA); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG) |
| MSC classes: | 60L10, 60L20, 46E22, 60G17, 65C20, 65C30, 60H10, 91B70 |
| Cite as: | arXiv:2605.25826 [math.NA] |
| (or arXiv:2605.25826v1 [math.NA] for this version) | |
| https://doi.org/10.48550/arXiv.2605.25826 arXiv-issued DOI via DataCite (pending registration) |
From: Qi Feng [view email]
[v1]
Mon, 25 May 2026 13:22:07 UTC (4,725 KB)
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