We present a multi-scale lattice Boltzmann scheme, which adaptively refines particles velocity space. Different velocity sets, i.e., higher- and lower-order lattices, are consistently and efficiently coupled, allowing us to use the higher-order lattice only when and where needed. This includes regions of either high Mach number or high Knudsen number. The coupling procedure of different lattices consists of either projection of the moments of the higher-order lattice onto the lower-order lattice or lifting of the lower-order lattice to the higher-order velocity space. Both lifting and projection are local operations, which enable a flexible adaptive velocity set. The proposed scheme can be formulated both in 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 first validated through a convected athermal vortex and also studied in a jet flow setup. The performance of the proposed scheme is further investigated through the shock structure problem and a high Knudsen 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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