Semidefinite approximations of invariant measures for polynomial systems

DOI10.3934/DCDSB.2019165MaRDI QIDQ2326653zbMATH OpenOpenAlexWikidataFDO

Authors Victor Magron, M. Forets, Didier Henrion

Publication date 10 October 2019

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.00754

zbMATH Keywords

dynamical systemsinvariant measuresmoment-sum-of-square relaxationspolynomial optimizationsemidefinite programming

Mathematics Subject Classification ID

Invariant measures for infinite-dimensional dissipative dynamical systems (37L40) Semidefinite programming (90C22) Discrete-time control/observation systems (93C55)

Abstract: We consider the problem of approximating numerically the moments and the supports of measures which are invariant with respect to the dynamics of continuous- and discrete-time polynomial systems, under semialgebraic set constraints. First, we address the problem of approximating the density and hence the support of an invariant measure which is absolutely continuous with respect to the Lebesgue measure. Then, we focus on the approximation of the support of an invariant measure which is singular with respect to the Lebesgue measure. Each problem is handled through an appropriate reformulation into a linear optimization problem over measures, solved in practice with two hierarchies of finite-dimensional semidefinite moment-sum-of-square relaxations, also called Lasserre hierarchies. Under specific assumptions, the first Lasserre hierarchy allows to approximate the moments of an absolutely continuous invariant measure as close as desired and to extract a sequence of polynomials converging weakly to the density of this measure. The second Lasserre hierarchy allows to approximate as close as desired in the Hausdorff metric the support of a singular invariant measure with the level sets of the Christoffel polynomials associated to the moment matrices of this measure. We also present some application examples together with numerical results for several dynamical systems admitting either absolutely continuous or singular invariant measures.

Recommendations

• Semidefinite characterisation of invariant measures for one-dimensional discrete dynamical systems
• Convex computation of extremal invariant measures of nonlinear dynamical systems and Markov processes
• Semidefinite Approximations of Reachable Sets for Discrete-time Polynomial Systems
• scientific article; zbMATH DE number 1086436
• Semidefinite Relaxations for Lebesgue and Gaussian Measures of Unions of Basic Semialgebraic Sets

Cited in

(12)

• Convex computation of extremal invariant measures of nonlinear dynamical systems and Markov processes
• Duality and the Computation of Approximate Invariant Densities for Nonsingular Transformations
• Semidefinite characterisation of invariant measures for one-dimensional discrete dynamical systems
• Noncommutative Christoffel-Darboux kernels
• Computing controlled invariant sets from data using convex optimization
• Computing the Hausdorff boundary measure of semialgebraic sets
• A general piecewise spline maximum entropy method for position dependent random maps
• Sparsity structures for Koopman and Perron-Frobenius operators
• Exploiting ideal-sparsity in the generalized moment problem with application to matrix factorization ranks
• Polynomial optimization over unions of sets
• Data-driven discovery of invariant measures
• Computer-assisted proofs for Lyapunov stability via sums of squares certificates and constructive analysis

This page was built for publication: Semidefinite approximations of invariant measures for polynomial systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2326653)