Optimal prediction with memory

被引:184
作者
Chorin, AJ
Hald, OH
Kupferman, R [1 ]
机构
[1] Hebrew Univ Jerusalem, Inst Math, IL-91904 Jerusalem, Israel
[2] Univ Calif Berkeley, Dept Math, Berkeley, CA 94720 USA
基金
美国国家科学基金会; 以色列科学基金会;
关键词
optimal prediction; memory; Langevin equations; orthogonal dynamics; underresolution; Hamiltonian systems; hermite polynomials;
D O I
10.1016/S0167-2789(02)00446-3
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Optimal prediction methods estimate the solution of nonlinear time-dependent problems when that solution is too complex to be fully resolved or when data are missing. The initial conditions for the unresolved components of the solution are drawn from a probability distribution, and their effect on a small set of variables that are actually computed is evaluated via statistical projection. The formalism resembles the projection methods of irreversible statistical mechanics, supplemented by the systematic use of conditional expectations and new methods of solution for an auxiliary equation, the orthogonal dynamics equation, needed to evaluate a non-Markovian memory term. The result of the computations is close to the best possible estimate that can be obtained given the partial data. We present the constructions in detail together with several useful variants, provide simple examples, and point out the relation to the fluctuation-dissipation formulas of statistical physics. (C) 2002 Elsevier Science B.V All rights reserved.
引用
收藏
页码:239 / 257
页数:19
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