Empirical evaluated SDE modelling for dimensionality-reduced systems and its predictability estimates

Naoto Nakano, Masaru Inatsu, Seiichiro Kusuoka, Yoshitaka Saiki

Research output: Contribution to journalArticle

Abstract

This paper develops and validates a method of empirical modelling for a dimensionality-reduced system of a nonlinear dynamical system based on the framework of the stochastic differential equation (SDE). Following the mathematical theorem corresponding to some inverse problem of the probability theory, we derive the empirically evaluating formulae for the drift vector and diffusion matrix. Focusing on a low-dimensional dynamical system of the Lorenz system, we empirically reconstruct an SDE that approximates the original time-series on the projected 2-dimensional plane. The distribution of the ensemble variance of solutions generated by the numerical SDE well agrees with that of the trajectories of the projected time-series, which indicates the ability of the SDE modelling to represent local predictability. Moreover, we also compare our SDE constructing method with the conventional Mori–Zwanzig projected operator method, which is used to derive a generalised Langevin equation for dimensionality-reduced systems, to assess the applicability of the obtained SDE model derived by the presented method.

Original languageEnglish
Pages (from-to)553-589
Number of pages37
JournalJapan Journal of Industrial and Applied Mathematics
Volume35
Issue number2
DOIs
Publication statusPublished - Jul 1 2018

Fingerprint

Predictability
Dimensionality
Stochastic Equations
Differential equations
Differential equation
Modeling
Estimate
Time series
Generalized Langevin Equation
Nonlinear dynamical systems
Lorenz System
Nonlinear Dynamical Systems
Probability Theory
Inverse problems
Mathematical operators
Inverse Problem
Dynamical systems
Ensemble
Dynamical system
Trajectories

Keywords

  • Dimensionality reduction
  • Inverse problem
  • Nonlinear dynamical systems
  • Predictability
  • Stochastic differential equation

ASJC Scopus subject areas

  • Engineering(all)
  • Applied Mathematics

Cite this

Empirical evaluated SDE modelling for dimensionality-reduced systems and its predictability estimates. / Nakano, Naoto; Inatsu, Masaru; Kusuoka, Seiichiro; Saiki, Yoshitaka.

In: Japan Journal of Industrial and Applied Mathematics, Vol. 35, No. 2, 01.07.2018, p. 553-589.

Research output: Contribution to journalArticle

Nakano, Naoto ; Inatsu, Masaru ; Kusuoka, Seiichiro ; Saiki, Yoshitaka. / Empirical evaluated SDE modelling for dimensionality-reduced systems and its predictability estimates. In: Japan Journal of Industrial and Applied Mathematics. 2018 ; Vol. 35, No. 2. pp. 553-589.
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