An analysis of noise propagation in the multiscale simulation of coarse Fokker-Planck equations
ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique, Volume 45 (2011) no. 3, p. 541-561

We consider multiscale systems for which only a fine-scale model describing the evolution of individuals (atoms, molecules, bacteria, agents) is given, while we are interested in the evolution of the population density on coarse space and time scales. Typically, this evolution is described by a coarse Fokker-Planck equation. In this paper, we consider a numerical procedure to compute the solution of this Fokker-Planck equation directly on the coarse level, based on the estimation of the unknown parameters (drift and diffusion) using only appropriately chosen realizations of the fine-scale, individual-based system. As these parameters might be space- and time-dependent, the estimation is performed in every spatial discretization point and at every time step. If the fine-scale model is stochastic, the estimation procedure introduces noise on the coarse level. We investigate stability conditions for this procedure in the presence of this noise and present an analysis of the propagation of the estimation error in the numerical solution of the coarse Fokker-Planck equation.

Classification:  65L20,  35Q84,  60H30,  35R60
Keywords: multiscale computing, stochastic systems, Fokker-Planck equation, uncertainty propagation
     author = {Frederix, Yves and Samaey, Giovanni and Roose, Dirk},
     title = {An analysis of noise propagation in the multiscale simulation of coarse Fokker-Planck equations},
     journal = {ESAIM: Mathematical Modelling and Numerical Analysis - Mod\'elisation Math\'ematique et Analyse Num\'erique},
     publisher = {EDP-Sciences},
     volume = {45},
     number = {3},
     year = {2011},
     pages = {541-561},
     doi = {10.1051/m2an/2010066},
     zbl = {1269.82051},
     mrnumber = {2804650},
     language = {en},
     url = {}
Frederix, Yves; Samaey, Giovanni; Roose, Dirk. An analysis of noise propagation in the multiscale simulation of coarse Fokker-Planck equations. ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique, Volume 45 (2011) no. 3, pp. 541-561. doi : 10.1051/m2an/2010066.

[1] Y. Ait-Sahalia, Maximum likelihood estimation of discretely sampled diffusions: A closed-form approximation approach. Econometrica 70 (2002) 223-262. | MR 1926260 | Zbl 1104.62323

[2] M. Alber, N. Chen, T. Glimm and P.M. Lushnikov, Multiscale dynamics of biological cells with chemotactic interactions: From a discrete stochastic model to a continuous description. Phys. Rev. E 73 (2006) 051901. | MR 2242588

[3] W. E and B. Engquist, The heterogeneous multi-scale methods. Commun. Math. Sci. 1 (2003) 87-132. | Zbl 1093.35012

[4] W. E, D. Liu and E. Vanden-Eijnden, Analysis of multiscale methods for stochastic differential equations. Commun. Pure Appl. Math. 58 (2005) 1544-1585. | MR 2165382 | Zbl 1080.60060

[5] W. E, B. Engquist, X. Li, W. Ren and E. Vanden-Eijnden, Heterogeneous multiscale methods: A review. Commun. Comput. Phys. 2 (2007) 367-450. | MR 2314852 | Zbl 1164.65496

[6] R. Erban and H.G. Othmer, From signal transduction to spatial pattern formation in E. coli: A paradigm for multiscale modeling in biology. SIAM Multiscale Model. Simul. 3 (2005) 362-394. | MR 2122993 | Zbl 1073.35205

[7] I. Fatkullin and E. Vanden-Eijnden, A computational strategy for multiscale systems with applications to Lorenz 96 model. J. Comput. Phys. 200 (2004) 605-638. | MR 2095278 | Zbl 1058.65065

[8] Y. Frederix and D. Roose, A drift-filtered approach to diffusion estimation for multiscale processes, in Coping with complexity: model reduction and data analysis, Lecture Notes in Computational Science and Engineering 75, Springer-Verlag (2010). | MR 2757582

[9] Y. Frederix, G. Samaey, C. Vandekerckhove, T. Li, E. Nies and D. Roose, Lifting in equation-free methods for molecular dynamics simulations of dense fluids. Discrete Continuous Dyn. Syst. Ser. B 11 (2009) 855-874. | MR 2505650 | Zbl pre05574125

[10] C. Gear, Projective integration methods for distributions. Technical report, NEC Research Institute (2001).

[11] C.W. Gear, T.J. Kaper, I.G. Kevrekidis and A. Zagaris, Projecting to a slow manifold: Singularly perturbed systems and legacy codes. SIAM J. Appl. Dyn. Syst. 4 (2005) 711-732. | MR 2176163 | Zbl 1170.34343

[12] D. Givon, R. Kupferman and A. Stuart, Extracting macroscopic dynamics: model problems and algorithms. Nonlinearity 17 (2004) R55-R127. | MR 2097022 | Zbl 1073.82038

[13] R.M. Gray, Toeplitz and circulant matrices: A review. Found. Trends Commun. Inf. Theory 2 (2005) 155-239. | Zbl 1143.15305

[14] B. Jourdain, C.L. Bris and T. Lelièvre, On a variance reduction technique for micro-macro simulations of polymeric fluids. J. Non-Newton. Fluid Mech. 122 (2004) 91-106. | Zbl 1143.76333

[15] I.G. Kevrekidis and G. Samaey, Equation-free multiscale computation: Algorithms and applications. Ann. Rev. Phys. Chem. 60 (2009) 321-344.

[16] I.G. Kevrekidis, C.W. Gear, J.M. Hyman, P.G. Kevrekidis, O. Runborg and C. Theodoropoulos, Equation-free, coarse-grained multiscale computation: Enabling microscopic simulators to perform system-level analysis. Commun. Math. Sci. 1 (2003) 715-762. | MR 2041455 | Zbl 1086.65066

[17] H.C. Öttinger, B.H.A.A. Van Den Brule and M.A. Hulsen, Brownian configuration fields and variance reduced CONNFFESSIT. J. Non-Newton. Fluid Mech. 70 (1997) 255-261.

[18] G. Pavliotis and A. Stuart, Multiscale Methods: Averaging and Homogenization, Texts in Applied Mathematics 53. Springer, New York (2007). | MR 2382139 | Zbl 1160.35006

[19] G.A. Pavliotis and A.M. Stuart, Parameter estimation for multiscale diffusions. J. Stat. Phys. 127 (2007) 741-781. | MR 2319851 | Zbl 1137.82016

[20] Y. Pokern, A.M. Stuart and E. Vanden-Eijnden, Remarks on drift estimation for diffusion processes. SIAM Multiscale Model. Simul. 8 (2009) 69-95. | MR 2575045 | Zbl 1183.62145

[21] H. Risken, The Fokker-Planck Equation: Methods of Solutions and Applications. Springer Series in Synergetics, Second Edition, Springer (1989). | MR 987631 | Zbl 0665.60084

[22] M. Rousset and G. Samaey, Simulating individual-based models of bacterial chemotaxis with asymptotic variance reduction. INRIA, inria-00425065, available at (2009). | Zbl 1291.35417

[23] A. Skorokhod, Asymptotic methods in the theory of stochastic differential equations, Translations of mathematical monographs 78. AMS, Providence (1999). | Zbl 0695.60055

[24] N. Van Kampen, Elimination of fast variables. Phys. Rep. 124 (1985) 69-160. | MR 795762

[25] P. Van Leemput, W. Vanroose and D. Roose, Mesoscale analysis of the equation-free constrained runs initialization scheme. SIAM Multiscale Model. Simul. 6 (2007) 1234-1255. | MR 2393033 | Zbl 1248.76121

[26] E. Vanden-Eijnden, Numerical techniques for multi-scale dynamical systems with stochastic effects. Commun. Math. Sci. 1 (2003) 385-391. | MR 1980483 | Zbl 1088.60060