Data-driven closures for stochastic dynamical systems
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Publication:2000433
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: In this paper we develop a new data-driven closure approximation method to compute the statistical properties of quantities of interest in high-dimensional stochastic dynamical systems. The new method relies on estimating conditional expectations from sample paths or experimental data, and it is independent of the dimension of the underlying phase space. We also address the important question of whether enough useful data is being injected into the reduced-order model governing the quantity of interest. To this end, we develop a new paradigm to measure the information content of data based on the numerical solution of hyperbolic systems of equations. The effectiveness of the proposed new methods is demonstrated in applications to nonlinear dynamical systems and models of systems biology evolving from random initial states.
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Cited in
(20)- Generalized Langevin equations for systems with local interactions
- Data-driven non-Markovian closure models
- Hypoellipticity and the Mori-Zwanzig formulation of stochastic differential equations
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- Data-Driven Reduction for a Class of Multiscale Fast-Slow Stochastic Dynamical Systems
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