Bounding stationary averages of polynomial diffusions via semidefinite programming
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Lyapunov exponentsmoment problemspolynomial diffusionssemidefinite programmingstationary measuresstochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Semidefinite programming (90C22)
Abstract: We introduce an algorithm based on semidefinite programming that yields increasing (resp. decreasing) sequences of lower (resp. upper) bounds on polynomial stationary averages of diffusions with polynomial drift vector and diffusion coefficients. The bounds are obtained by optimising an objective, determined by the stationary average of interest, over the set of real vectors defined by certain linear equalities and semidefinite inequalities which are satisfied by the moments of any stationary measure of the diffusion. We exemplify the use of the approach through several applications: a Bayesian inference problem; the computation of Lyapunov exponents of linear ordinary differential equations perturbed by multiplicative white noise; and a reliability problem from structural mechanics. Additionally, we prove that the bounds converge to the infimum and supremum of the set of stationary averages for certain SDEs associated with the computation of the Lyapunov exponents, and we provide numerical evidence of convergence in more general settings.
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Cited in
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- Finding extremal periodic orbits with polynomial optimization, with application to a nine-mode model of shear flow
- Bounding extreme events in nonlinear dynamics using convex optimization
- Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
- Minimum wave speeds in monostable reaction-diffusion equations: sharp bounds by polynomial optimization
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- Data-driven discovery of invariant measures
- Polynomial optimization for nonlinear dynamics: theory, algorithms and applications. Abstracts from the workshop held July 28 -- August 2, 2024
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