Deterministic continuation of stochastic metastable equilibria via Lyapunov equations and ellipsoids

DOI10.1137/110839874zbMATH Open1246.65244arXiv1106.3479OpenAlexW3098298024MaRDI QIDQ2909281FDOQ2909281

Authors: Christian Kuehn 

Publication date: 30 August 2012

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: Numerical continuation methods for deterministic dynamical systems have been one of the most successful tools in applied dynamical systems theory. Continuation techniques have been employed in all branches of the natural sciences as well as in engineering to analyze ordinary, partial and delay differential equations. Here we show that the deterministic continuation algorithm for equilibrium points can be extended to track information about metastable equilibrium points of stochastic differential equations (SDEs). We stress that we do not develop a new technical tool but that we combine results and methods from probability theory, dynamical systems, numerical analysis, optimization and control theory into an algorithm that augments classical equilibrium continuation methods. In particular, we use ellipsoids defining regions of high concentration of sample paths. It is shown that these ellipsoids and the distances between them can be efficiently calculated using iterative methods that take advantage of the numerical continuation framework. We apply our method to a bistable neural competition model and a classical predator-prey system. Furthermore, we show how global assumptions on the flow can be incorporated - if they are available - by relating numerical continuation, Kramers' formula and Rayleigh iteration.

Full work available at URL: https://arxiv.org/abs/1106.3479

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Stochastic stability in control theory (93E15) Numerical bifurcation problems (65P30) Bifurcation of solutions to ordinary differential equations involving randomness (34F10)

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• Computing invariant sets of random differential equations using polynomial chaos
• Equation-free analysis of agent-based models and systematic parameter determination
• Rigorous validation of stochastic transition paths
• Large deviations for nonlocal stochastic neural fields
• Continuation of probability density functions using a generalized Lyapunov approach
• Early-warning signs for pattern-formation in stochastic partial differential equations
• Numerical continuation and SPDE stability for the 2D cubic-quintic Allen-Cahn equation
• Reduction methods in climate dynamics -- a brief review
• Random switching near bifurcations
• Staying the course: iteratively locating equilibria of dynamical systems on Riemannian manifolds defined by point-clouds
• Efficient gluing of numerical continuation and a multiple solution method for elliptic PDEs
• Numerical continuation and bifurcation analysis in aircraft design: an industrial perspective

Uses Software

• MATCONT
• AUTO
• DDE-BIFTOOL
• PyDSTool
• Ellipsoidal Toolbox

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