ISALT: inference-based schemes adaptive to large time-stepping for locally Lipschitz ergodic systems

DOI10.3934/DCDSS.2021103zbMATH Open1484.65015arXiv2102.12669OpenAlexW3204582391WikidataQ114022625 ScholiaQ114022625MaRDI QIDQ2129142FDOQ2129142

Authors: Yanyan Li 

Publication date: 22 April 2022

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Abstract: Efficient simulation of SDEs is essential in many applications, particularly for ergodic systems that demand efficient simulation of both short-time dynamics and large-time statistics. However, locally Lipschitz SDEs often require special treatments such as implicit schemes with small time-steps to accurately simulate the ergodic measure. We introduce a framework to construct inference-based schemes adaptive to large time-steps (ISALT) from data, achieving a reduction in time by several orders of magnitudes. The key is the statistical learning of an approximation to the infinite-dimensional discrete-time flow map. We explore the use of numerical schemes (such as the Euler-Maruyama, a hybrid RK4, and an implicit scheme) to derive informed basis functions, leading to a parameter inference problem. We introduce a scalable algorithm to estimate the parameters by least squares, and we prove the convergence of the estimators as data size increases. We test the ISALT on three non-globally Lipschitz SDEs: the 1D double-well potential, a 2D multi-scale gradient system, and the 3D stochastic Lorenz equation with degenerate noise. Numerical results show that ISALT can tolerate time-step magnitudes larger than plain numerical schemes. It reaches optimal accuracy in reproducing the invariant measure when the time-step is medium-large.

Full work available at URL: https://arxiv.org/abs/2102.12669

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zbMATH Keywords

stochastic differential equationsdata-driven modelinginference-based schemelocally Lipschitz ergodic systemsmodel reduction in time

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (1)

• NySALT: Nyström-type inference-based schemes adaptive to large time-stepping

Uses Software

• DGM

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