Stochastic model reduction for slow-fast systems with moderate time-scale separation

Jeroen Wouters; Georg A. Gottwald

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arXiv · 1804.09537

Stochastic model reduction for slow-fast systems with moderate time-scale separation

Jeroen Wouters·Georg A. Gottwald

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Abstract

We propose a stochastic model reduction strategy for deterministic and stochastic slow-fast systems with finite time-scale separation. The stochastic model reduction relaxes the assumption of infinite time-scale separation of classical homogenization theory by incorporating deviations from this limit as described by an Edgeworth expansion. A surrogate system is constructed the parameters of which are matched to produce the same Edgeworth expansions up to any desired order of the original multi-scale system. We corroborate our analytical findings by numerical examples, showing significant improvements to classical homogenized model reduction.

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BibTeX RIS

Jeroen Wouters, Georg A. Gottwald. 2018-04-16. Stochastic model reduction for slow-fast systems with moderate time-scale separation. https://arxiv.org/abs/1804.09537

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