Coarse graining of nonreversible stochastic differential equations: quantitative results and connections to averaging

DOI10.1137/19M1299852zbMATH Open1447.35028arXiv1911.06081OpenAlexW3035726048MaRDI QIDQ5119982FDOQ5119982

Authors: Carsten Hartmann, Lara Neureither, Upanshu Sharma 

Publication date: 9 September 2020

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Abstract: This work is concerned with model reduction of stochastic differential equations and builds on the idea of replacing drift and noise coefficients of preselected relevant, e.g. slow variables by their conditional expectations. We extend recent results by Legoll & Leli`evre [Nonlinearity 23, 2131, 2010] and Duong et al. [Nonlinearity 31, 4517, 2018] on effective reversible dynamics by conditional expectations to the setting of general non-reversible processes with non-constant diffusion coefficient. We prove relative entropy and Wasserstein error estimates for the difference between the time marginals of the effective and original dynamics as well as an entropy error bound for the corresponding path space measures. A comparison with the averaging principle for systems with time-scale separation reveals that, unlike in the reversible setting, the effective dynamics for a non-reversible system need not agree with the averaged equations. We present a thorough comparison for the Ornstein-Uhlenbeck process and make a conjecture about necessary and sufficient conditions for when averaged and effective dynamics agree for nonlinear non-reversible processes. The theoretical results are illustrated with suitable numerical examples.

Full work available at URL: https://arxiv.org/abs/1911.06081

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zbMATH Keywords

Wasserstein distanceconditional expectationrelative entropyaveraging principleoptimal predictionslow-fast systemseffective dynamicsnonreversible diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic behavior of solutions to PDEs (35B40) Singular perturbations in context of PDEs (35B25) Second-order parabolic equations (35K10) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited In (12)

• GANs and Closures: Micro-Macro Consistency in Multiscale Modeling
• Effective dynamics for non-reversible stochastic differential equations: a quantitative study
• Numerical and statistical methods for the coarse-graining of many-particle stochastic systems
• From large deviations to semidistances of transport and mixing: coherence analysis for finite Lagrangian data
• Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning
• A reduction scheme for coupled Brownian harmonic oscillators
• Nonlinear model reduction for slow-fast stochastic systems near unknown invariant manifolds
• Quantitative Coarse-Graining of Markov Chains
• Martingale structure for general thermodynamic functionals of diffusion processes under second-order averaging
• Asymptotics of averages in a nonequilibrium model of Dicke type
• Finite coarse-graining and Chapman-Kolmogorov equation in conservative dynamical systems
• Nonreversible sampling schemes on submanifolds

Uses Software

• Flury

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