A modified piecewise linear Markov approximation of Markov operators

DOI10.1016/J.AMC.2005.03.026MaRDI QIDQ2490203zbMATH OpenOpenAlexFDO

Authors J. Ding, N. H. Rhee

Publication date 28 April 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2005.03.026

zbMATH Keywords

convergencefixed density computingFrobenius-Perron operatorMarkov finite approximationsnumerical examplespiecewise linear numerical methodstabilitystochastic analysis of dynamical systems

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

Review text

\textit{J. Ding} and \textit{T. Y. Li} [Nonlinear Anal., Theory Methods Appl. 17, No. 8, 759--772 (1991; Zbl 0758.28014)] proposed a piecewise linear numerical method based on a Markov finite approximation of an integrable function for the computation of absolutely continuous invariant measures associated with chaotic interval mappings. The present paper proposes a modified piecewise linear Markov approximation method for functions of one variable. The novelty consists in a new discretization operator \(Q_n\) for approximating a function in \(L^1(0, 1)\). Several numerical examples compare the original piecewise linear Markov method of Ding and Li (loc. cit.), and the newly proposed piecewise linear Markov method, when applied to computing fixed densities of Frobenius-Perron operators. The results show an improved approximation for the new (and simpler) method in comparison to the original one. Furthermore, stability and convergence properties of the novel piecewise linear method based on Markov finite approximations are studied in terms of the \(L^1\)-norm and the bounded variation norm. The new technique provides a simple and fast numerical scheme for computing fixed densities of Markov operators, and can be successfully employed in the statistical study of stochastic analysis of dynamical systems.

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Cites work

• A convergence rate analysis for markov finite approximations to a class of Frobenius-Perron operators
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• scientific article; zbMATH DE number 3141308 (Why is no real title available?)
• Markov finite approximation of Frobenius-Perron operator
• Piecewise linear markov approximations of frobenius-perron operators associated with multi-dimensional transformations
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Cited in

(19)

• Computing fixed densities of Markov operators defined by stochastic kernels
• Error estimates for quasi-compact Markov operators
• Solving Fredholm integral equations via a piecewise linear maximum entropy method
• Approximation order analysis for the piecewise linear Markov method
• Structure preserving finite element approximations of Markov operators
• A Quasi Monte Carlo Approach to Piecewise Linear Markov Approximations of Markov Operators
• A maximum entropy method for solving the boundary value problem of second order ordinary differential equations
• A Cubic Spline Projection Method for Computing Stationary Densities of Dynamical Systems
• A linear spline Markov approximation method for random maps with position dependent probabilities
• Constructive approximations of Markov operators
• Piecewise linear least squares approximations of Frobenius-Perron operators
• Solving linear Volterra integral equations with a piecewise linear maximum entropy method
• On the norm convergence of a piecewise linear least squares method for Frobenius-Perron operators
• Computing invariant densities of a class of piecewise increasing mappings
• Computing invariant measures of weakly convex random maps with position dependent probabilities
• A maximum entropy method based on piecewise linear functions for the recovery of a stationary density of interval mappings
• A cubic spline projection method for computing stationary densities for random maps
• Piecewise linear maximum entropy method for Fredholm integral equations with weakly singular kernel
• Integral and nonnegativity preserving approximations of functions

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