Nonparametric estimation of homogenized invariant measures from multiscale data via Hermite expansion
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| Format: | Preprint |
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2025
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| _version_ | 1866914122004692992 |
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| author | Borodavka, Jaroslav I. Hirsch, Max Krumscheid, Sebastian Zanoni, Andrea |
| author_facet | Borodavka, Jaroslav I. Hirsch, Max Krumscheid, Sebastian Zanoni, Andrea |
| contents | We consider the problem of density estimation in the context of multiscale Langevin diffusion processes, where a single-scale homogenized surrogate model can be derived. In particular, our aim is to learn the density of the invariant measure of the homogenized dynamics from a continuous-time trajectory generated by the full multiscale system. We propose a spectral method based on a truncated Fourier expansion with Hermite functions as orthonormal basis. The Fourier coefficients are computed directly from the data owing to the ergodic theorem. We prove that the resulting density estimator is robust and converges to the invariant density of the homogenized model as the scale separation parameter vanishes, provided the time horizon and the number of Fourier modes are suitably chosen in relation to the multiscale parameter. The accuracy and reliability of this methodology is further demonstrated through a series of numerical experiments. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2510_25521 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Nonparametric estimation of homogenized invariant measures from multiscale data via Hermite expansion Borodavka, Jaroslav I. Hirsch, Max Krumscheid, Sebastian Zanoni, Andrea Numerical Analysis Probability Statistics Theory Methodology We consider the problem of density estimation in the context of multiscale Langevin diffusion processes, where a single-scale homogenized surrogate model can be derived. In particular, our aim is to learn the density of the invariant measure of the homogenized dynamics from a continuous-time trajectory generated by the full multiscale system. We propose a spectral method based on a truncated Fourier expansion with Hermite functions as orthonormal basis. The Fourier coefficients are computed directly from the data owing to the ergodic theorem. We prove that the resulting density estimator is robust and converges to the invariant density of the homogenized model as the scale separation parameter vanishes, provided the time horizon and the number of Fourier modes are suitably chosen in relation to the multiscale parameter. The accuracy and reliability of this methodology is further demonstrated through a series of numerical experiments. |
| title | Nonparametric estimation of homogenized invariant measures from multiscale data via Hermite expansion |
| topic | Numerical Analysis Probability Statistics Theory Methodology |
| url | https://arxiv.org/abs/2510.25521 |