Quantitative Coarse-Graining of Markov Chains
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coarse-grainingcontinuous-time Markov chainseffective dynamicsfunctional inequalitiesrelative entropyslow-fast system
Averaging method for ordinary differential equations (34C29) Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
Abstract: Coarse-graining techniques play a central role in reducing the complexity of stochastic models, and are typically characterised by a mapping which projects the full state of the system onto a smaller set of variables which captures the essential features of the system. Starting with a continuous-time Markov chain, in this work we propose and analyse an effective dynamics, which approximates the dynamical information in the coarse-grained chain. Without assuming explicit scale-separation, we provide sufficient conditions under which this effective dynamics stays close to the original system and provide quantitative bounds on the approximation error. We also compare the effective dynamics and corresponding error bounds to the averaging literature on Markov chains which involve explicit scale-separation. We demonstrate our findings on an illustrative test example.
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Cited in
(4)- Dynamical Properties of Coarse-Grained Linear SDEs
- A systematic analysis of the memory term in coarse-grained models: the case of the Markovian approximation
- Coarse-graining and reconstruction for Markov matrices
- On finding optimal collective variables for complex systems by minimizing the deviation between effective and full dynamics
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