Article ID Journal Published Year Pages File Type
519096 Journal of Computational Physics 2011 19 Pages PDF
Abstract

In this paper, we present a fast numerical strategy for filtering stochastic differential equations with multiscale features. This method is designed such that it does not violate the practical linear observability condition and, more importantly, it does not require the computationally expensive cross correlation statistics between multiscale variables that are typically needed in standard filtering approach. The proposed filtering algorithm comprises of a “macro-filter” that borrows ideas from the Heterogeneous Multiscale Methods and a “micro-filter” that reinitializes the fast microscopic variables to statistically reflect the unbiased slow macroscopic estimate obtained from the macro-filter and macroscopic observations at asynchronous times. We will show that the proposed micro-filter is equivalent to solving an inverse problem for parameterizing differential equations. Numerically, we will show that this microscopic reinitialization is an important novel feature for accurate filtered solutions, especially when the microscopic dynamics is not mixing at all.

Related Topics
Physical Sciences and Engineering Computer Science Computer Science Applications
Authors
,