The Langevin Approach: A Simple Stochastic Method for Complex Phenomena

DOI10.1007/978-3-319-18206-3_6zbMATH Open1329.76131arXiv1502.05253OpenAlexW1820166680MaRDI QIDQ2949901FDOQ2949901

Authors: Nico Reinke, André Fuchs, W. Medjroubi, Matthias Wächter, Pedro G. Lind, J. Peinke 

Publication date: 5 October 2015

Published in: Mathematical Engineering (Search for Journal in Brave)

Abstract: We describe a simple stochastic method, so-called Langevin approach, which enables one to extract evolution equations of stochastic variables from a set of measurements. Our method is parameter-free and it is based on the nonlinear Langevin equation. Moreover, it can be applied not only to processes in time, but also to processes in scale, given that the data available shows ergodicity. This chapter introduces the mathematical foundations of the Langevin approach and describes how to implement it numerically. A specific application of the method is presented, namely to a turbulent velocity field measured in the laboratory, retrieving the corresponding energy cascade and comparing with the results from a computational simulation of that experiment. In addition, we describe a physical interpretation bridging between processes in time and in scale. Finally, we describe extensions of the method for time series reconstruction and applications to other fields such as finance, medicine, geophysics and renewable energies.

Full work available at URL: https://arxiv.org/abs/1502.05253

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Mathematics Subject Classification ID

Particle methods and lattice-gas methods (76M28) Stochastic analysis applied to problems in fluid mechanics (76M35) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Statistical turbulence modeling (76F55)

Cited In (3)

• The Langevin Equation as a Global Minimization Algorithm
• Analysis of data sets of stochastic systems
• The mechanism of complex Langevin simulations

Uses Software

• OpenFOAM
• Langevin

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