The Laplace Transform Inversion by Inspection

1986 ◽  
Vol 93 (10) ◽  
pp. 786-791 ◽  
Author(s):  
Abraham Ungar
1975 ◽  
Vol 65 (4) ◽  
pp. 927-935
Author(s):  
I. M. Longman ◽  
T. Beer

Abstract In a recent paper, the first author has developed a method of computation of “best” rational function approximations ḡn(p) to a given function f̄(p) of the Laplace transform operator p. These approximations are best in the sense that analytic inversion of ḡn(p) gives a function gn(t) of the time variable t, which approximates the (generally unknown) inverse f(t) of f̄(p in a minimum least-squares manner. Only f̄(p) but not f(t) is required to be known in order to carry out this process. n is the “order” of the approximation, and it can be shown that as n tends to infinity gn(t) tends to f(t) in the mean. Under suitable conditions on f(t) the convergence is extremely rapid, and quite low values of n (four or five, say) are sufficient to give high accuracy for all t ≧ 0. For seismological applications, we use geometrical optics to subtract out of f(t) its discontinuities, and bring it to a form in which the above inversion method is very rapidly convergent. This modification is of course carried out (suitably transformed) on f̄(p), and the discontinuities are restored to f(t) after the inversion. An application is given to an example previously treated by the first author by a different method, and it is a certain vindication of the present method that an error in the previously given solution is brought to light. The paper also presents a new analytical method for handling the Bessel function integrals that occur in theoretical seismic problems related to layered media.


2016 ◽  
Vol 48 (A) ◽  
pp. 203-215 ◽  
Author(s):  
Patrick J. Laub ◽  
Søren Asmussen ◽  
Jens L. Jensen ◽  
Leonardo Rojas-Nandayapa

AbstractLet (X1,...,Xn) be multivariate normal, with mean vector 𝛍 and covariance matrix 𝚺, and letSn=eX1+⋯+eXn. The Laplace transform ℒ(θ)=𝔼e-θSn∝∫exp{-hθ(𝒙)}d𝒙 is represented as ℒ̃(θ)I(θ), where ℒ̃(θ) is given in closed form andI(θ) is the error factor (≈1). We obtain ℒ̃(θ) by replacinghθ(𝒙) with a second-order Taylor expansion around its minimiser 𝒙*. An algorithm for calculating the asymptotic expansion of 𝒙*is presented, and it is shown thatI(θ)→ 1 as θ→∞. A variety of numerical methods for evaluatingI(θ) is discussed, including Monte Carlo with importance sampling and quasi-Monte Carlo. Numerical examples (including Laplace-transform inversion for the density ofSn) are also given.


In a previous paper (Bertero, Boccacci & Pike, Proc. R. Soc. Lond . A 383, 15 (1982)) we investigated the benefits of a priori knowledge of finite support of the solution in the inversion of the Laplace transform and determined the number of exponential components that could be recovered from given data in the presence of quantified amounts of noise. The support of the data was assumed to be unrestricted. In the present paper these calculations are extended to cover the case of a necessarily finite number of experimental data points. We consider two cases: uniform distribution and geometric distribution of data points. In both cases the condition number of singular value inversions is minimized with respect to the placing of the data points for fixed numbers of data samples. The results allow optimum placing of the experimental data points as a function of the ratio, γ , of given upper and lower bounds of the support of the solution. The number of exponentials recoverable is less than in the unrestricted case but for γ ≼ 8 we find that with 32 linearly spaced data points, optimally placed, this reduction is rather small. Geometrical sampling of experimental data reduces further the number of sample points required for inversion. For γ ≼ 8 we show that with 5 geometrically spaced data points, points, optimally placed, the ill-conditioning in the restoration of 2 to 4 exponential components is smaller than with 32 linearly spaced data samples. This has important implications for the design of a number of scientific experiments and instruments.


2001 ◽  
Vol 5 (3) ◽  
pp. 193-200 ◽  
Author(s):  
M. Iqbal

A method is described for inverting the Laplace transform. The performance of the Fourier method is illustrated by the inversion of the test functions available in the literature. Results are shown in the tables.


2005 ◽  
Vol 20 (1) ◽  
pp. 1-44 ◽  
Author(s):  
Peter den Iseger

Numerical inversion of Laplace transforms is a powerful tool in computational probability. It greatly enhances the applicability of stochastic models in many fields. In this article we present a simple Laplace transform inversion algorithm that can compute the desired function values for a much larger class of Laplace transforms than the ones that can be inverted with the known methods in the literature. The algorithm can invert Laplace transforms of functions with discontinuities and singularities, even if we do not know the location of these discontinuities and singularities a priori. The algorithm only needs numerical values of the Laplace transform, is extremely fast, and the results are of almost machine precision. We also present a two-dimensional variant of the Laplace transform inversion algorithm. We illustrate the accuracy and robustness of the algorithms with various numerical examples.


Mathematics ◽  
2020 ◽  
Vol 8 (7) ◽  
pp. 1112
Author(s):  
María-Consuelo Casabán ◽  
Rafael Company ◽  
Lucas Jódar

In this paper, we propose an integral transform method for the numerical solution of random mean square parabolic models, that makes manageable the computational complexity due to the storage of intermediate information when one applies iterative methods. By applying the random Laplace transform method combined with the use of Monte Carlo and numerical integration of the Laplace transform inversion, an easy expression of the approximating stochastic process allows the manageable computation of the statistical moments of the approximation.


2011 ◽  
Vol 48 (01) ◽  
pp. 217-237 ◽  
Author(s):  
Mark S. Veillette ◽  
Murad S. Taqqu

We present a method for computing the probability density function (PDF) and the cumulative distribution function (CDF) of a nonnegative infinitely divisible random variable X. Our method uses the Lévy-Khintchine representation of the Laplace transform Ee-λX = e-ϕ(λ), where ϕ is the Laplace exponent. We apply the Post-Widder method for Laplace transform inversion combined with a sequence convergence accelerator to obtain accurate results. We demonstrate this technique on several examples, including the stable distribution, mixtures thereof, and integrals with respect to nonnegative Lévy processes.


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