A scalable approach to the computation of invariant measures for high-dimensional Markovian systems.

ABSTRACT: The Markovian invariant measure is a central concept in many disciplines. Conventional numerical techniques for data-driven computation of invariant measures rely on estimation and further numerical processing of a transition matrix. Here we show how the quality of data-driven estimation of a transition matrix crucially depends on the validity of the statistical independence assumption for transition probabilities. Moreover, the cost of the invariant measure computation in general scales cubically with the dimension - and is usually unfeasible for realistic high-dimensional systems. We introduce a method relaxing the independence assumption of transition probabilities that scales quadratically in situations with latent variables. Applications of the method are illustrated on the Lorenz-63

SUBMITTER: Gerber S 

PROVIDER: S-EPMC5789124 | biostudies-literature | 2018 Jan

REPOSITORIES: biostudies-literature