A discrete approach to stochastic parametrization and dimensional reduction in nonlinear dynamics
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Publication:6260428
DOI10.1073/PNAS.1512080112arXiv1503.08766WikidataQ35961367 ScholiaQ35961367MaRDI QIDQ6260428FDOQ6260428
Authors: Alexandre J. Chorin, Fei Lu 
Publication date: 30 March 2015
Abstract: Many physical systems are described by nonlinear differential equations that are too complicated to solve in full. A natural way to proceed is to divide the variables into those that are of direct interest and those that are not, formulate solvable approximate equations for the variables of greater interest, and use data and statistical methods to account for the impact of the other variables. In the present paper the problem is considered in a fully discrete-time setting, which simplifies both the analysis of the data and the numerical algorithms. The resulting time series are identified by a NARMAX (nonlinear autoregression moving average with exogenous input) representation familiar from engineering practice. The connections with the Mori-Zwanzig formalism of statistical physics are discussed, as well as an application to the Lorenz 96 system.
Probabilistic models, generic numerical methods in probability and statistics (65C20) Time series analysis of dynamical systems (37M10)
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