Data-driven computational methods for quasi-stationary distribution and sensitivity analysis

DOI10.1007/S10884-022-10137-2MaRDI QIDQ6174738zbMATH OpenWikidataFDO

Authors Yao Li, Yaping Yuan

Publication date 17 August 2023

Published in Journal of Dynamics and Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.01419, https://scholarworks.umass.edu/cgi/viewcontent.cgi?article=3827&context=dissertations_2

zbMATH Keywords

coupling methoddata-driven computationMonte Carlo simulationquasi-stationary distribution

Mathematics Subject Classification ID

Quantum theory (81-XX) Statistical mechanics, structure of matter (82-XX)

Abstract: This paper studies computational methods for quasi-stationary distributions (QSDs). We first proposed a data-driven solver that solves Fokker-Planck equations for QSDs. Similar as the case of Fokker-Planck equations for invariant probability measures, we set up an optimization problem that minimizes the distance from a low-accuracy reference solution, under the constraint of satisfying the linear relation given by the discretized Fokker-Planck operator. Then we use coupling method to study the sensitivity of a QSD against either the change of boundary condition or the diffusion coefficient. The 1-Wasserstein distance between a QSD and the corresponding invariant probability measure can be quantitatively estimated. Some numerical results about both computation of QSDs and their sensitivity analysis are provided.

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