An efficient data-driven solver for Fokker-Planck equations: algorithm and analysis

DOI10.4310/CMS.2022.V20.N3.A8zbMATH Open1497.65016arXiv1906.02600OpenAlexW2948904999MaRDI QIDQ2129665FDOQ2129665

M. Dobson, Yao Li, Jiayu Zhai

Publication date: 22 April 2022

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Abstract: Computing the invariant probability measure of a randomly perturbed dynamical system usually means solving the stationary Fokker-Planck equation. This paper studies several key properties of a novel data-driven solver for low-dimensional Fokker-Planck equations proposed in [15]. Based on these results, we propose a new `block solver' for the stationary Fokker-Planck equation, which significantly improves the performance of the original algorithm. Some possible ways of reducing numerical artifacts caused by the block solver are discussed and tested with examples.

Full work available at URL: https://arxiv.org/abs/1906.02600

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zbMATH Keywords

Monte Carlo simulationFokker-Planck equationdata-driven method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (6)

• Data-driven efficient solvers for Langevin dynamics on manifold in high dimensions
• Artificial neural network solver for time-dependent Fokker-Planck equations
• Data-driven computational methods for quasi-stationary distribution and sensitivity analysis
• The Asymptotic Frequency of Stochastic Oscillators
• Two methods for studying the response and the reliability of a fractional stochastic dynamical system
• Application of the Fokker-Planck equation to data assimilation into hydrodynamical models

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