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

DOI10.4310/CMS.2022.V20.N3.A8MaRDI QIDQ2129665zbMATH OpenOpenAlexFDO

Authors M. Dobson, Yao Li, Jiayu Zhai

Publication date 22 April 2022

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

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

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)

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.

Recommendations

• Adaptive deep density approximation for Fokker-Planck equations
• Solving Fokker-Planck equation using deep learning
• Computing the invariant distribution of randomly perturbed dynamical systems using deep learning
• Beating the curse of dimension with accurate statistics for the Fokker-Planck equation in complex turbulent systems
• Rigorous analysis for efficient statistically accurate algorithms for solving Fokker-Planck equations in large dimensions

Cited in

(8)

• Data-driven efficient solvers for Langevin dynamics on manifold in high dimensions
• Solving time dependent Fokker-Planck equations via temporal normalizing flow
• Artificial neural network solver for time-dependent Fokker-Planck equations
• Computing high-dimensional invariant distributions from noisy data
• 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

This page was built for publication: An efficient data-driven solver for Fokker-Planck equations: algorithm and analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2129665)