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Data-driven reduction for a class of multiscale fast-slow stochastic dynamical systems

Author(s): Dsilva, CJ; Talmon, R; Gear, CW; Coifman, RR; Kevrekidis, Yannis G.

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Abstract: © 2016 Society for Industrial and Applied Mathematics. Multi-time-scale stochastic dynamical systems are ubiquitous in science and engineering, and the reduction of such systems and their models to only their slow components is often essential for scientific computation and further analysis. Rather than being available in the form of an explicit analytical model, often such systems can only be observed as a data set which embodies dynamics on several time scales. We focus on applying and adapting data-mining and manifold learning techniques to detect the slow components in a class of such multiscale data. Traditional data-mining methods are based on metrics (and thus, geometries) which are not informed of the multiscale nature of the underlying system dynamics; such methods cannot successfully recover the slow variables. Here, we present an approach which utilizes both the local geometry and the local noise dynamics within the data set through a metric which is both insensitive to the fast variables and more general than simple statistical averaging. Our analysis of the approach provides conditions for successfully recovering the underlying slow variables, as well as an empirical protocol guiding the selection of the method parameters. Interestingly, the recovered underlying variables are gauge invariant - they are insensitive to the measuring instrument/observation function.
Publication Date: 1-Jan-2016
Citation: Dsilva, CJ, Talmon, R, Gear, CW, Coifman, RR, Kevrekidis, LG. (2016). Data-driven reduction for a class of multiscale fast-slow stochastic dynamical systems. SIAM Journal on Applied Dynamical Systems, 15 (3), 1327 - 1351. doi:10.1137/151004896
DOI: doi:10.1137/151004896
EISSN: 1536-0040
Pages: 1327 - 1351
Type of Material: Journal Article
Journal/Proceeding Title: SIAM Journal on Applied Dynamical Systems
Version: Final published version. Article is made available in OAR by the publisher's permission or policy.

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