Path differentiability of ODE flows
From MaRDI portal
Publication:2676533
Nonsmooth analysis (49J52) Control problems involving ordinary differential equations (34H05) Existence theories for optimal control problems involving ordinary differential equations (49J15) Methods involving semicontinuity and convergence; relaxation (49J45) Derivative-free methods and methods using generalized derivatives (90C56)
Abstract: We consider flows of ordinary differential equations (ODEs) driven by path differentiable vector fields. Path differentiable functions constitute a proper subclass of Lipschitz functions which admit conservative gradients, a notion of generalized derivative compatible with basic calculus rules. Our main result states that such flows inherit the path differentiability property of the driving vector field. We show indeed that forward propagation of derivatives given by the sensitivity differential inclusions provide a conservative Jacobian for the flow. This allows to propose a nonsmooth version of the adjoint method, which can be applied to integral costs under an ODE constraint. This result constitutes a theoretical ground to the application of small step first order methods to solve a broad class of nonsmooth optimization problems with parametrized ODE constraints. This is illustrated with the convergence of small step first order methods based on the proposed nonsmooth adjoint.
Recommendations
- Conservative set valued fields, automatic differentiation, stochastic gradient methods and deep learning
- A convergence of ODE method in constrained optimization
- scientific article; zbMATH DE number 37929
- An ODE method of solving nonlinear programming
- Generalized derivatives for solutions of parametric ordinary differential equations with non-differentiable right-hand sides
Cites work
- scientific article; zbMATH DE number 3855514 (Why is no real title available?)
- scientific article; zbMATH DE number 41285 (Why is no real title available?)
- scientific article; zbMATH DE number 3406 (Why is no real title available?)
- scientific article; zbMATH DE number 2201407 (Why is no real title available?)
- A Chain Rule for Essentially Smooth Lipschitz Functions
- Adjoint Sensitivity Analysis for Differential-Algebraic Equations: The Adjoint DAE System and Its Numerical Solution
- Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations
- Asymptotic stability and smooth Lyapunov functions
- Computationally relevant generalized derivatives: theory, evaluation and applications
- Conservative and semismooth derivatives are equivalent for semialgebraic maps
- Dependence of solutions of nonsmooth differential-algebraic equations on parameters
- Difference Methods for Differential Inclusions: A Survey
- Differential inclusions in Wasserstein spaces: the Cauchy-Lipschitz framework
- Dynamic Data Assimilation
- Generalisations, examples, and counter-examples in analysis and optimisation. \textit{In honour of Michel Théra at 70}
- Generalized derivatives for solutions of parametric ordinary differential equations with non-differentiable right-hand sides
- Generalized derivatives of differential-algebraic equations
- Generalized subdifferentials: a Baire categorical approach
- Lexicographic differentiation of nonsmooth functions
- Measure theory and fine properties of functions
- Numerical methods for nonsmooth dynamical systems. Applications in mechanics and electronics
- Optimization and nonsmooth analysis
- Real analysis
- Solution dependence on initial conditions in differential variational inequalities
- The Euler-Lagrange differential inclusion
Cited in
(5)- Differentiating Nonsmooth Solutions to Parametric Monotone Inclusion Problems
- The flow of ODEs: formalization of variational equation and Poincaré map
- Subgradient Sampling for Nonsmooth Nonconvex Minimization
- Conservative set valued fields, automatic differentiation, stochastic gradient methods and deep learning
- Flow equations on spaces of rough paths
This page was built for publication: Path differentiability of ODE flows
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2676533)
