Stochastic Optimal Prediction with Application to Averaged Euler Equations
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Publication:6470570
arXivmath/0008150MaRDI QIDQ6470570FDOQ6470570
Authors: J. B. Bell, Alexandre J. Chorin, W. Y. Crutchfield 
Publication date: 18 August 2000
Abstract: Optimal prediction (OP) methods compensate for a lack of resolution in the numerical solution of complex problems through the use of an invariant measure as a prior measure in the Bayesian sense. In first-order OP, unresolved information is approximated by its conditional expectation with respect to the invariant measure. In higher-order OP, unresolved information is approximated by a stochastic estimator, leading to a system of random or stochastic differential equations. We explain the ideas through a simple example, and then apply them to the solution of Averaged Euler equations in two space dimensions.
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