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 system and for the molecular dynamics (MD) simulation data of the α-synuclein protein. We demonstrate how the conventional methodologies do not provide good estimates of the invariant measure based upon the available α-synuclein MD data. Applying the introduced approach to these MD data we detect two robust meta-stable states of α-synuclein and a linear transition between them, involving transient formation of secondary structure, qualitatively consistent with previous purely experimental reports.