Computing high-dimensional invariant distributions from noisy data

DOI10.1016/J.JCP.2022.111783MaRDI QIDQ2112468zbMATH OpenOpenAlexFDO

Authors Bo Lin, Qianxiao Li, Weiqing Ren

Publication date 11 January 2023

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2022.111783

zbMATH Keywords

maximum likelihood methodFokker-Planck equationnoisy datainvariant distribution

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Partial differential equations of mathematical physics and other areas of application (35Qxx) Stochastic analysis (60Hxx)

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Cites work

• Computing the invariant distribution of randomly perturbed dynamical systems using deep learning
• Data-driven discovery of governing equations for fluid dynamics based on molecular simulation
• Deterministic Nonperiodic Flow
• Handbook of stochastic methods for physics, chemistry and natural sciences.
• Random Perturbations of Dynamical Systems
• Solving inverse stochastic problems from discrete particle observations using the Fokker-Planck equation and physics-informed neural networks

Cited in

(2)

• Weak collocation regression method: fast reveal hidden stochastic dynamics from high-dimensional aggregate data
• DynGMA: a robust approach for learning stochastic differential equations from data

Describes a project that uses

Uses Software

• Adam

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