A priori tests of a stochastic mode reduction strategy

A. Majda, I. Timofeyev, E. Vanden-Eijnden

Research output: Contribution to journalArticle

Abstract

Several a priori tests of a systematic stochastic mode reduction procedure recently devised by the authors [Proc. Natl. Acad. Sci. 96 (1999) 14687; Commun. Pure Appl. Math. 54 (2001) 891] are developed here. In this procedure, reduced stochastic equations for a smaller collections of resolved variables are derived systematically for complex nonlinear systems with many degrees of freedom and a large collection of unresolved variables. While the above approach is mathematically rigorous in the limit when the ratio of correlation times between the resolved and the unresolved variables is arbitrary small, it is shown here on a systematic hierarchy of models that this ratio can be surprisingly big. Typically, the systematic reduced stochastic modeling yields quantitatively realistic dynamics for ratios as large as 1/2. The examples studied here vary from instructive stochastic triad models to prototype complex systems with many degrees of freedom utilizing the truncated Burgers-Hopf equations as a nonlinear heat bath. Systematic quantitative tests for the stochastic modeling procedure are developed here which involve the stationary distribution and the two-time correlations for the second and fourth moments including the resolved variables and the energy in the resolved variables. In an important illustrative example presented here, the nonlinear original system involves 102 degrees of freedom and the reduced stochastic model predicted by the theory for two resolved variables involves both nonlinear interaction and multiplicative noises. Even for large value of the correlation time ratio of the order of 1/2, the reduced stochastic model with two degrees of freedom captures the essentially nonlinear and non-Gaussian statistics of the original nonlinear systems with 102 modes extremely well. Furthermore, it is shown here that the standard regression fitting of the second-order correlations alone fails to reproduce the nonlinear stochastic dynamics in this example.

Original languageEnglish (US)
Pages (from-to)206-252
Number of pages47
JournalPhysica D: Nonlinear Phenomena
Volume170
Issue number3-4
DOIs
StatePublished - Sep 15 2002

Fingerprint

Stochastic models
Nonlinear systems
degrees of freedom
nonlinear systems
Degree of freedom
Stochastic Model
Stochastic Modeling
Nonlinear Systems
Reduced Model
Large scale systems
Complex Systems
Statistics
Heat Bath
Nonlinear Interaction
Multiplicative Noise
Stochastic Dynamics
Stationary Distribution
complex systems
Nonlinear Dynamics
hierarchies

Keywords

  • Mode reduction
  • Non-Gaussian statistics
  • Stationary distribution
  • Stochastic modeling
  • Truncated Burgers-Hopf system

ASJC Scopus subject areas

  • Applied Mathematics
  • Statistical and Nonlinear Physics

Cite this

A priori tests of a stochastic mode reduction strategy. / Majda, A.; Timofeyev, I.; Vanden-Eijnden, E.

In: Physica D: Nonlinear Phenomena, Vol. 170, No. 3-4, 15.09.2002, p. 206-252.

Research output: Contribution to journalArticle

Majda, A. ; Timofeyev, I. ; Vanden-Eijnden, E. / A priori tests of a stochastic mode reduction strategy. In: Physica D: Nonlinear Phenomena. 2002 ; Vol. 170, No. 3-4. pp. 206-252.
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