Computing invariant sets of random differential equations using polynomial chaos
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heteroclinic orbitinvariant manifoldLorenz systemperiodic orbitpolynomial chaosrandom differential equation
Ordinary differential equations and systems with randomness (34F05) General theory of random and stochastic dynamical systems (37H05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for invariant manifolds of dynamical systems (37M21) Computational methods for attractors of dynamical systems (37M22) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: Differential equations with random parameters have gained significant prominence in recent years due to their importance in mathematical modelling and data assimilation. In many cases, random ordinary differential equations (RODEs) are studied by using Monte-Carlo methods or by direct numerical simulation techniques using polynomial chaos (PC), i.e., by a series expansion of the random parameters in combination with forward integration. Here we take a dynamical systems viewpoint and focus on the invariant sets of differential equations such as steady states, stable/unstable manifolds, periodic orbits, and heteroclinic orbits. We employ PC to compute representations of all these different types of invariant sets for RODEs. This allows us to obtain fast sampling, geometric visualization of distributional properties of invariants sets, and uncertainty quantification of dynamical output such as periods or locations of orbits. We apply our techniques to a predator-prey model, where we compute steady states and stable/unstable manifolds. We also include several benchmarks to illustrate the numerical efficiency of adaptively chosen PC depending upon the random input. Then we employ the methods for the Lorenz system, obtaining computational PC representations of periodic orbits, stable/unstable manifolds and heteroclinic orbits.
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