Rudy Morel, Gaspar Rochette, Roberto Leonarduzzi et al.
We introduce the wavelet scattering spectra which provide non-Gaussian models of time-series having stationary increments. A complex wavelet transform computes signal variations at each scale. Dependencies across scales are captured by the joint correlation across time and scales of wavelet coefficients and their modulus. This correlation matrix is nearly diagonalized by a second wavelet transform, which defines the scattering spectra. We show that this vector of moments characterizes a wide range of non-Gaussian properties of multi-scale processes. We prove that self-similar processes have scattering spectra which are scale invariant. This property can be tested statistically on a single realization and defines a class of wide-sense self-similar processes. We build maximum entropy models conditioned by scattering spectra coefficients, and generate new time-series with a microcanonical sampling algorithm. Applications are shown for highly non-Gaussian financial and turbulence time-series.
Physicists routinely need probabilistic models for a number of tasks such as parameter inference or the generation of new realizations of a field. Establishing such models for highly non-Gaussian fields is a challenge, especially when the number of samples is limited. In this paper, we introduce scattering spectra models for stationary fields and we show that they provide accurate and robust statistical descriptions of a wide range of fields encountered in physics. These models are based on covariances of scattering coefficients, i.e. wavelet decomposition of a field coupled with a point-wise modulus. After introducing useful dimension reductions taking advantage of the regularity of a field under rotation and scaling, we validate these models on various multi-scale physical fields and demonstrate that they reproduce standard statistics, including spatial moments up to 4th order. These scattering spectra provide us with a low-dimensional structured representation that captures key properties encountered in a wide range of physical fields. These generic models can be used for data exploration, classification, parameter inference, symmetry detection, and component separation.
Ali Siahkoohi, Rudy Morel, Maarten V. de Hoop et al.
Source separation involves the ill-posed problem of retrieving a set of source signals that have been observed through a mixing operator. Solving this problem requires prior knowledge, which is commonly incorporated by imposing regularity conditions on the source signals, or implicitly learned through supervised or unsupervised methods from existing data. While data-driven methods have shown great promise in source separation, they often require large amounts of data, which rarely exists in planetary space missions. To address this challenge, we propose an unsupervised source separation scheme for domains with limited data access that involves solving an optimization problem in the wavelet scattering covariance representation space$\unicode{x2014}$an interpretable, low-dimensional representation of stationary processes. We present a real-data example in which we remove transient, thermally-induced microtilts$\unicode{x2014}$known as glitches$\unicode{x2014}$from data recorded by a seismometer during NASA's InSight mission on Mars. Thanks to the wavelet scattering covariances' ability to capture non-Gaussian properties of stochastic processes, we are able to separate glitches using only a few glitch-free data snippets.
We address the problem of predicting the next state of a dynamical system governed by unknown temporal partial differential equations (PDEs) using only a short trajectory. While standard transformers provide a natural black-box solution to this task, the presence of a well-structured evolution operator in the data suggests a more tailored and efficient approach. Specifically, when the PDE is fully known, classical numerical solvers can evolve the state accurately with only a few parameters. Building on this observation, we introduce DISCO, a model that uses a large hypernetwork to process a short trajectory and generate the parameters of a much smaller operator network, which then predicts the next state through time integration. Our framework decouples dynamics estimation (i.e., DISCovering an evolution operator from a short trajectory) from state prediction (i.e., evolving this operator). Experiments show that pretraining our model on diverse physics datasets achieves state-of-the-art performance while requiring significantly fewer epochs. Moreover, it generalizes well and remains competitive when fine-tuned on downstream tasks.
Ali Siahkoohi, Rudy Morel, Randall Balestriero et al.
Unsupervised source separation involves unraveling an unknown set of source signals recorded through a mixing operator, with limited prior knowledge about the sources, and only access to a dataset of signal mixtures. This problem is inherently ill-posed and is further challenged by the variety of timescales exhibited by sources in time series data from planetary space missions. As such, a systematic multi-scale unsupervised approach is needed to identify and separate sources at different timescales. Existing methods typically rely on a preselected window size that determines their operating timescale, limiting their capacity to handle multi-scale sources. To address this issue, we propose an unsupervised multi-scale clustering and source separation framework by leveraging wavelet scattering spectra that provide a low-dimensional representation of stochastic processes, capable of distinguishing between different non-Gaussian stochastic processes. Nested within this representation space, we develop a factorial variational autoencoder that is trained to probabilistically cluster sources at different timescales. To perform source separation, we use samples from clusters at multiple timescales obtained via the factorial variational autoencoder as prior information and formulate an optimization problem in the wavelet scattering spectra representation space. When applied to the entire seismic dataset recorded during the NASA InSight mission on Mars, containing sources varying greatly in timescale, our approach disentangles such different sources, e.g., minute-long transient one-sided pulses (known as "glitches") and structured ambient noises resulting from atmospheric activities that typically last for tens of minutes, and provides an opportunity to conduct further investigations into the isolated sources.