Nonlinear model reduction for slow-fast stochastic systems near unknown invariant manifolds

DOI10.1007/S00332-023-09998-8arXiv2104.02120MaRDI QIDQ6188980FDOQ6188980

Authors: Felix X.-F. Ye, Sichen Yang, Mauro Maggioni 

Publication date: 12 January 2024

Published in: Journal of Nonlinear Science (Search for Journal in Brave)

Abstract: We introduce a nonlinear stochastic model reduction technique for high-dimensional stochastic dynamical systems that have a low-dimensional invariant effective manifold with slow dynamics, and high-dimensional, large fast modes. Given only access to a black box simulator from which short bursts of simulation can be obtained, we estimate the invariant manifold, a process of the effective (stochastic) dynamics on it, and construct an efficient simulator thereof. These estimation steps can be performed on-the-fly, leading to efficient exploration of the effective state space, without losing consistency with the underlying dynamics. This construction enables fast and efficient simulation of paths of the effective dynamics, together with estimation of crucial features and observables of such dynamics, including the stationary distribution, identification of metastable states, and residence times and transition rates between them.

Full work available at URL: https://arxiv.org/abs/2104.02120

zbMATH Keywords

manifold learningmodel reductionmultiscale dynamicsstochastic dynamical systemsdata-driven methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stability theory for random and stochastic dynamical systems (37H30)

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