Surrogate Trajectories Along Probability Flows: Pseudo Markovian Alternative to Mori Zwanzig

TL;DR

This paper introduces a novel model reduction method that employs time-dependent optimal projections to generate surrogate trajectories consistent with the probability flow of high-dimensional stochastic systems, improving efficiency and accuracy especially for rare events.

Contribution

It presents a new surrogate modeling approach based on probability flow and polynomial chaos, addressing limitations in existing techniques for high-dimensional stochastic systems with initial uncertainty.

Findings

Surrogate trajectories are consistent with the full system's probability flow.

The method efficiently computes projections for low probability initial conditions.

Numerical results show computational advantages over Monte Carlo and optimal prediction methods.

Abstract

Model reduction techniques have emerged as a powerful paradigm across different fronts of scientific computing. Despite their success, the provided tools and methodologies remain limited if high-dimensional dynamical systems subject to initial uncertainty and/or stochastic noise are encountered; in particular if rare events are of interest. We address this open challenge by borrowing ideas from Mori-Zwanzig formalism and Chorin's optimal prediction method. The novelty of our work lies on employing time-dependent optimal projection of the dynamic on a desired set of resolved variables. We show several theoretical and numerical properties of our model reduction approach. In particular, we show that the devised surrogate trajectories are consistent with the probability flow of the full-order system. Furthermore, we identify the measure underlying the projection through polynomial chaos expansion technique. This allows us to efficiently compute the projection even for trajectories that are initiated on low probability events. Moreover, we investigate the introduced model-reduction error of the surrogate trajectories on a standard setup, characterizing the convergence behaviour of the scheme. Several numerical results highlight the computational advantages of the proposed scheme in comparison to Monte-Carlo and optimal prediction method. Through this framework, we demonstrate that by tracking the measure along with the consistent projection of the dynamic we are able to access accurate estimates of different statistics including observables conditional on a given initial configuration.