We are interested in finding the Probability Density Function (PDF) of high dimensional chaotic systems such as a global atmospheric circulation model. The key difficulty stems from the so called “curse of dimensionality”. Representing anything numerically in a high dimensional space seems to be just too computationally expensive. Methods applied to dodge this problem include representing the PDF analytically or applying a (typically linear) transformation to a low dimensional space. For chaotic systems these approaches often seem extremely ad-hoc with the main motivation being that we don't know what else to do.
The Lorenz 95 system is one of the simplest systems we could come up with that is both chaotic and high dimensional. So it seems like a good candidate for initial investigation. We look at two attempts to approximate the PDF of this system to an arbitrary level of accuracy, firstly using a simple Monte-Carlo method and secondly using the Fokker-Planck equation. We also describe some of the (sometimes surprising) difficulties encountered along the way.