An observation-driven time-dependent basis for a reduced description of transient stochastic systems.

ABSTRACT: We present a variational principle for the extraction of a time-dependent orthonormal basis from random realizations of transient systems. The optimality condition of the variational principle leads to a closed-form evolution equation for the orthonormal basis and its coefficients. The extracted modes are associated with the most transient subspace of the system, and they provide a reduced description of the transient dynamics that may be used for reduced-order modelling, filtering and prediction. The presented method is matrix free; it relies only on the observables of the system and ignores any information about the underlying system. In that sense, the presented reduction is purely observation driven and may be applied to systems whose models are not known. The presented method has line

SUBMITTER: Babaee H 

PROVIDER: S-EPMC6894541 | biostudies-literature | 2019 Nov

REPOSITORIES: biostudies-literature