scholarly journals Symplectic-Structure-Preserving Uncertain Differential Equations

Symmetry ◽  
2021 ◽  
Vol 13 (8) ◽  
pp. 1424
Author(s):  
Xiuling Yin ◽  
Xiulian Gao ◽  
Yanqin Liu ◽  
Yanfeng Shen ◽  
Jinchan Wang
Keyword(s):  
Differential Equations ◽  
Hamiltonian Systems ◽  
Numerical Experiments ◽  
Symplectic Structure ◽  
Uncertain Environments ◽  
Order Accuracy ◽  
Structure Preserving ◽  
Symplectic Scheme ◽  
Expected Values ◽  
Multiple Factor

Uncertain differential equations are important mathematical models in uncertain environments. This paper investigates uncertain multi-dimensional and multiple-factor differential equations. First, the solvability of the equations is analyzed. The α-path distributions and expected values of solutions are given. Then, structure preserving uncertain differential equations, uncertain Hamiltonian systems driven by Liu processes, which possess a kind of uncertain symplectic structures, are presented. A symplectic scheme with six-order accuracy and a Yao-Chen algorithm are applied to design an algorithm to solve uncertain Hamiltonian systems. At last, numerical experiments are given to investigate four uncertain Hamiltonian systems, which highlight the efficiency of our algorithm.

A Multiple Interval Chebyshev-Gauss-Lobatto Collocation Method for Ordinary Differential Equations

2016 ◽  
Vol 9 (4) ◽  
pp. 619-639 ◽  
Author(s):  
Zhong-Qing Wang ◽  
Jun Mu
Keyword(s):  
Differential Equations ◽  
Ordinary Differential Equations ◽  
Collocation Method ◽  
Initial Value Problems ◽  
Numerical Experiments ◽  
High Order Accuracy ◽  
Nonlinear Ordinary Differential Equations ◽  
Initial Value ◽  
Order Accuracy ◽  
Long Time

AbstractWe introduce a multiple interval Chebyshev-Gauss-Lobatto spectral collocation method for the initial value problems of the nonlinear ordinary differential equations (ODES). This method is easy to implement and possesses the high order accuracy. In addition, it is very stable and suitable for long time calculations. We also obtain thehp-version bound on the numerical error of the multiple interval collocation method underH1-norm. Numerical experiments confirm the theoretical expectations.

scholarly journals A flexible symplectic scheme for two-dimensional Schrödinger equation with highly accurate RBFS quasi-interpolation

Filomat ◽  
2019 ◽  
Vol 33 (17) ◽  
pp. 5451-5461 ◽  
Author(s):  
Shengliang Zhang ◽  
Liping Zhang
Keyword(s):  
Numerical Experiments ◽  
Time Integration ◽  
Time Dependent ◽  
High Order Accuracy ◽  
Two Dimensional ◽  
Computationally Efficient ◽  
Order Accuracy ◽  
Symplectic Scheme ◽  
Long Time ◽  
Long Time Integration

Based on highly accurate multiquadric quasi-interpolation, this study suggests a meshless symplectic procedure for two-dimensional time-dependent Schr?dinger equation. The method is highorder accurate, flexible with respect to the geometry, computationally efficient and easy to implement. We also present a theoretical framework to show the conservativeness and convergence of the proposed method. As the numerical experiments show, it not only offers a high order accuracy but also has a good performance in the long time integration.

scholarly journals High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

2021 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Quan Zhou ◽  
Yabing Sun
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Rate Of Convergence ◽  
Numerical Experiments ◽  
Taylor Expansion ◽  
Backward Stochastic Differential Equations ◽  
High Order ◽  
High Order Accuracy ◽  
Order Accuracy ◽  
One Step

<p style='text-indent:20px;'>In this work, by combining the Feynman-Kac formula with an Itô-Taylor expansion, we propose a class of high order one-step schemes for backward stochastic differential equations, which can achieve at most six order rate of convergence and only need the terminal conditions on the last one step. Numerical experiments are carried out to show the efficiency and high order accuracy of the proposed schemes.</p>

scholarly journals Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Idris Kharroubi ◽  
Thomas Lim ◽  
Xavier Warin
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Neural Networks ◽  
Differential Equations ◽  
Numerical Experiments ◽  
Optimization Problem ◽  
Learning Approach ◽  
The Neural Network ◽  
Machine Learning Approach ◽  
Mesh Grid

AbstractWe study the approximation of backward stochastic differential equations (BSDEs for short) with a constraint on the gains process. We first discretize the constraint by applying a so-called facelift operator at times of a grid. We show that this discretely constrained BSDE converges to the continuously constrained one as the mesh grid converges to zero. We then focus on the approximation of the discretely constrained BSDE. For that we adopt a machine learning approach. We show that the facelift can be approximated by an optimization problem over a class of neural networks under constraints on the neural network and its derivative. We then derive an algorithm converging to the discretely constrained BSDE as the number of neurons goes to infinity. We end by numerical experiments.

scholarly journals Order Conditions for Sampling the Invariant Measure of Ergodic Stochastic Differential Equations on Manifolds

2021 ◽  
Author(s):  
Adrien Laurent ◽  
Gilles Vilmart
Keyword(s):  
Invariant Measure ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Linear Group ◽  
Langevin Equation ◽  
Numerical Experiments ◽  
Special Linear Group ◽  
Order Conditions ◽  
High Order ◽  
Differential Equations On Manifolds

AbstractWe derive a new methodology for the construction of high-order integrators for sampling the invariant measure of ergodic stochastic differential equations with dynamics constrained on a manifold. We obtain the order conditions for sampling the invariant measure for a class of Runge–Kutta methods applied to the constrained overdamped Langevin equation. The analysis is valid for arbitrarily high order and relies on an extension of the exotic aromatic Butcher-series formalism. To illustrate the methodology, a method of order two is introduced, and numerical experiments on the sphere, the torus and the special linear group confirm the theoretical findings.

scholarly journals COVARIANT DESCRIPTION OF PARAMETRIZED NONRELATIVISTIC HAMILTONIAN SYSTEMS

2004 ◽  
Vol 19 (15) ◽  
pp. 2473-2493 ◽  
Author(s):  
MAURICIO MONDRAGÓN ◽  
MERCED MONTESINOS
Keyword(s):  
Phase Space ◽  
Gauge Transformation ◽  
Hamiltonian Systems ◽  
Symplectic Structure ◽  
Canonical Formalism ◽  
Extended Phase Space ◽  
Extended Phase ◽  
Algebra Of Observables ◽  
Covariant Description ◽  
Constraint Surface

The various phase spaces involved in the dynamics of parametrized nonrelativistic Hamiltonian systems are displayed by using Crnkovic and Witten's covariant canonical formalism. It is also pointed out that in Dirac's canonical formalism there exists a freedom in the choice of the symplectic structure on the extended phase space and in the choice of the equations that define the constraint surface with the only restriction that these two choices combine in such a way that any pair (of these two choices) generates the same gauge transformation. The consequence of this freedom on the algebra of observables is also discussed.

INTEGRABILITY AND ACTION FUNCTION IN MULTI-HAMILTONIAN SYSTEMS

2004 ◽  
Vol 19 (11) ◽  
pp. 863-870 ◽  
Author(s):  
S. I. MUSLIH
Keyword(s):  
Differential Equations ◽  
Hamiltonian Systems ◽  
Equations Of Motion ◽  
Integral Function ◽  
Jacobi Method ◽  
Action Function ◽  
Action Integral ◽  
Method Integration ◽  
Total Differential

Multi-Hamiltonian systems are investigated by using the Hamilton–Jacobi method. Integration of a set of total differential equations which includes the equations of motion and the action integral function is discussed. It is shown that this set is integrable if and only if the total variations of the Hamiltonians vanish. Two examples are studied.

Numerical and Experimental Analysis of the Nonlinear Dynamics due to Impacts of a Continuous Overhung Rotor

1997 ◽  
Author(s):  
Mohammed F. Abdul Azeez ◽  
Alexander F. Vakakis
Keyword(s):  
Nonlinear Dynamics ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Numerical Experiments ◽  
The Other ◽  
Experimental Setup ◽  
Partial Differential ◽  
Qualitative Comparison ◽  
Set Up ◽  
Theory And Experiments

Abstract This work is aimed at obtaining the transient response of an overhung rotor when there are impacts occurring in the system. An overhung rotor clamped on one end, with a flywheel on the other and impacts occurring in between, due to a bearing with clearance, is considered. The system is modeled as a continuous rotor system and the governing partial differential equations are set up and solved. The method of assumed modes is used to discretize the system in order to solve the partial differential equations. Using this method numerical experiments are run and a few of the results are presented. The different numerical issues involved are also discussed. An experimental setup was built to run experiments and validate the results. Preliminary experimental observations are presented to show qualitative comparison of theory and experiments.

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