We present a multi-scale lattice Boltzmann scheme, which adaptively refines particles' velocity space. Different velocity sets of lower and higher order are consistently and efficiently coupled, allowing us to use the higher-order model only when and where needed. This includes regions of high Mach or high Knudsen numbers. The coupling procedure of discrete velocity sets consists of either a projection of the higher-order populations onto the lower-order lattice or lifting of the lower-order populations to the higher-order velocity space. Both lifting and projection are local operations, which enable a flexible adaptive velocity set. The proposed scheme is formulated for both a static and an optimal, co-moving reference frame, in the spirit of the recently introduced Particles on Demand method. The multi-scale scheme is validated with an advection of an athermal vortex and in a jet flow setup. The performance of the proposed scheme is further investigated in the shock structure problem and a high-Knudsen-number Couette flow, typical examples of highly non-equilibrium flows in which the order of the velocity set plays a decisive role. The results demonstrate that the proposed multi-scale scheme can operate accurately, with flexibility in terms of the underlying models and with reduced computational requirements.
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