The goal of Science is to understand phenomena and systems in order to predict their development and gain control over them. In the scientific process of knowledge elaboration, a crucial role is played by models which, in the language of quantitative sciences, mean abstract mathematical or algorithmical representations. This short review discusses a few key examples from Physics, taken from dynamical systems theory, biophysics, and statistical mechanics, representing three paradigmatic procedures to build models and predictions from available data. In the case of dynamical systems we show how predictions can be obtained in a virtually model-free framework using the methods of analogues, and we briefly discuss other approaches based on machine learning methods. In cases where the complexity of systems is challenging, like in biophysics, we stress the necessity to include part of the empirical knowledge in the models to gain the minimal amount of realism. Finally, we consider many body systems where many (temporal or spatial) scales are at play—and show how to derive from data a dimensional reduction in terms of a Langevin dynamics for their slow components.
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