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We investigate metastable dynamical systems subject to non-stationary forcing as they appear in molecular dynamics for systems driven by external fields. We show, that if the strength of the forcing is inversely proportional to the length of the slow metastable time scales of the unforced system, then the effective behavior of the forced system on slow time scales can be described by a low-dimensional reduced master equation. Our construction is explicit and uses the multiscale perturbation expansion method called two-timing, or method of multiple scales. The reduced master equation—a Markov state model—can be assembled by constructing two equilibrium Markov state models; one for the unforced system, and one for a slightly perturbed one.
We prove the Fréchet differentiability with respect to the drift of Perron–Frobenius and Koopman operators associated to time-inhomogeneous ordinary stochastic differential equations. This result relies on a similar differentiability result for pathwise expectations of path functionals of the solution of the stochastic differential equation, which we establish using Girsanov's formula. We demonstrate the significance of our result in the context of dynamical systems and operator theory, by proving continuously differentiable drift dependence of the simple eigen- and singular values and the corresponding eigen- and singular functions of the stochastic Perron–Frobenius and Koopman operators.
We consider autocovariance operators of a stationary stochastic process on a Polish space that is embedded into a reproducing kernel Hilbert space. We investigate how empirical estimates of these operators converge along realizations of the process under various conditions. In particular, we examine ergodic and strongly mixing processes and obtain several asymptotic results as well as finite sample error bounds. We provide applications of our theory in terms of consistency results for kernel PCA with dependent data and the conditional mean embedding of transition probabilities. Finally, we use our approach to examine the nonparametric estimation of Markov transition operators and highlight how our theory can give a consistency analysis for a large family of spectral analysis methods including kernel-based dynamic mode decomposition.
Reaction coordinates (RCs) are indicators of hidden, low-dimensional mechanisms that govern the long-term behavior of high-dimensional stochastic processes. We present a novel and general variational characterization of optimal RCs and provide conditions for their existence. Optimal RCs are minimizers of a certain loss function, and reduced models based on them guarantee a good approximation of the statistical long-term properties of the original high-dimensional process. We show that for slow-fast systems, metastable systems, and other systems with known good RCs, the novel theory reproduces previous insight. Remarkably, for reversible systems, the numerical effort required to evaluate the loss function scales only with the variability of the underlying, low-dimensional mechanism, and not with that of the full system. The theory provided lays the foundation for an efficient and data-sparse computation of RCs via modern machine learning techniques.
We present a numerical method to model dynamical systems from data. We use the recently introduced method Scalable Probabilistic Approximation (SPA) to project points from a Euclidean space to convex polytopes and represent these projected states of a system in new, lower-dimensional coordinates denoting their position in the polytope. We then introduce a specific nonlinear transformation to construct a model of the dynamics in the polytope and to transform back into the original state space. To overcome the potential loss of information from the projection to a lower-dimensional polytope, we use memory in the sense of the delay-embedding theorem of Takens. By construction, our method produces stable models. We illustrate the capacity of the method to reproduce even chaotic dynamics and attractors with multiple connected components on various examples.
We investigate opinion dynamics based on an agent-based model and are interested in predicting the evolution of the percentages of the entire agent population that share an opinion. Since these opinion percentages can be seen as an aggregated observation of the full system state, the individual opinions of each agent, we view this in the framework of the Mori–Zwanzig projection formalism. More specifically, we show how to estimate a nonlinear autoregressive model (NAR) with memory from data given by a time series of opinion percentages, and discuss its prediction capacities for various specific topologies of the agent interaction network. We demonstrate that the inclusion of memory terms significantly improves the prediction quality on examples with different network topologies.
Agent-based models are a natural choice for modeling complex social systems. In such models simple stochastic interaction rules for a large population of individuals on the microscopic scale can lead to emergent dynamics on the macroscopic scale, for instance a sudden shift of majority opinion or behavior. Here we are introducing a methodology for studying noise-induced tipping between relevant subsets of the agent state space representing characteristic configurations. Due to a large number of interacting individuals, agent-based models are high-dimensional, though usually a lower-dimensional structure of the emerging collective behaviour exists. We therefore apply Diffusion Maps, a non-linear dimension reduction technique, to reveal the intrinsic low-dimensional structure. We characterize the tipping behaviour by means of Transition Path Theory, which helps gaining a statistical understanding of the tipping paths such as their distribution, flux and rate. By systematically studying two agent-based models that exhibit a multitude of tipping pathways and cascading effects, we illustrate the practicability of our approach.
We consider time-continuous Markovian discrete-state dynamics on random networks of interacting agents and study the large population limit. The dynamics are projected onto low-dimensional collective variables given by the shares of each discrete state in the system, or in certain subsystems, and general conditions for the convergence of the collective variable dynamics to a mean-field ordinary differential equation are proved. We discuss the convergence to this mean-field limit for a continuous-time noisy version of the so-called "voter model" on Erdős-Rényi random graphs, on the stochastic block model, as well as on random regular graphs. Moreover, a heterogeneous population of agents is studied. For each of these types of interaction networks, we specify the convergence conditions in dependency on the corresponding model parameters.
We consider complex dynamical systems showing metastable behavior but no local
separation of fast and slow time scales. The article raises the question of whether
such systems exhibit a low-dimensional manifold supporting its effective dynamics.
For answering this question, we aim at finding nonlinear coordinates, called reaction
coordinates, such that the projection of the dynamics onto these coordinates preserves
the dominant time scales of the dynamics. We show that, based on a specific
reducibility property, the existence of good low-dimensional reaction coordinates
preserving the dominant time scales is guaranteed. Based on this theoretical framework,
we develop and test a novel numerical approach for computing good reaction
coordinates. The proposed algorithmic approach is fully local and thus not prone to
the curse of dimension with respect to the state space of the dynamics. Hence, it is
a promising method for data-based model reduction of complex dynamical systems
such as molecular dynamics.