Data-driven model reduction of agent-based systems using the Koopman generator
Fig 4
Root mean square error of drift and diffusion coefficients.
Approximation error defined as the RMSE of the coefficients of (A) the drift and (B) diffusion estimates for the EVM in Section 3.2 compared to the exact SDE limit model (5) depending on the number of agents N and number of Monte Carlo samples k for the estimation via Kramers–Moyal formulae. The brighter the color, the smaller the error and the better the identification of the reduced system. For increasing N and k the approximation error decreases.