Model reduction in time: Learning flow maps for reducing stochastic dynamical systems in time

Overview & Synopsis

Predictions with dynamical systems can be computationally expensive---even with reduced models---because reaching future prediction times can require many sequential time integration steps. We propose Flow-Map First-Order Trajectory Matching (FM-FTM), a nonintrusive model reduction approach that accelerates ensemble predictions of stochastic dynamical systems by learning flow maps that replace multiple time-integration steps. Our method uses first-order trajectory matching (FTM) to learn a deterministic representation of the stochastic probability-current dynamics and then reduces its evolution over time into a flow map whose evaluation directly yields predictions over long time horizons. Numerical experiments on evolution problems with stochastic forcing demonstrate that FM-FTM accelerates ensemble predictions by up to two orders of magnitude while accurately predicting time marginals and ensemble statistics.