We present a data-driven method to learn stochastic reduced models of complex systems that retain a state-dependent memory beyond the standard generalized Langevin equation (GLE) with a homogeneous kernel. The constructed model naturally encodes the heterogeneous energy dissipation by jointly learning a set of state features and the non-Markovian coupling among the features. Numerical results demonstrate the limitation of the standard GLE and the essential role of the broadly overlooked state-dependency nature in predicting molecule kinetics related to conformation relaxation and transition.
