Nonintrusive and structure preserving multiscale integration of stiff ODEs, SDEs, and Hamiltonian systems with hidden slow dynamics via flow averaging
From MaRDI portal
Publication:3067567
DOI10.1137/090771648zbMATH Open1215.65187arXiv0908.1241OpenAlexW3099715422MaRDI QIDQ3067567FDOQ3067567
Authors: Molei Tao, Houman Owhadi, J. E. Marsden 
Publication date: 21 January 2011
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Abstract: We introduce a new class of integrators for stiff ODEs as well as SDEs. These integrators are (i) {it Multiscale}: they are based on flow averaging and so do not fully resolve the fast variables and have a computational cost determined by slow variables (ii) {it Versatile}: the method is based on averaging the flows of the given dynamical system (which may have hidden slow and fast processes) instead of averaging the instantaneous drift of assumed separated slow and fast processes. This bypasses the need for identifying explicitly (or numerically) the slow or fast variables (iii) {it Nonintrusive}: A pre-existing numerical scheme resolving the microscopic time scale can be used as a black box and easily turned into one of the integrators in this paper by turning the large coefficients on over a microscopic timescale and off during a mesoscopic timescale (iv) {it Convergent over two scales}: strongly over slow processes and in the sense of measures over fast ones. We introduce the related notion of two-scale flow convergence and analyze the convergence of these integrators under the induced topology (v) {it Structure preserving}: for stiff Hamiltonian systems (possibly on manifolds), they can be made to be symplectic, time-reversible, and symmetry preserving (symmetries are group actions that leave the system invariant) in all variables. They are explicit and applicable to arbitrary stiff potentials (that need not be quadratic). Their application to the Fermi-Pasta-Ulam problems shows accuracy and stability over four orders of magnitude of time scales. For stiff Langevin equations, they are symmetry preserving, time-reversible and Boltzmann-Gibbs reversible, quasi-symplectic on all variables and conformally symplectic with isotropic friction.
Full work available at URL: https://arxiv.org/abs/0908.1241
Recommendations
- Plenary Lecture 10: Accelerate your favorite numerical integrator with two lines of code
- Space-time FLAVORS: finite difference, multisymplectic, and pseudospectral integrators for multiscale PDEs
- Variable step size multiscale methods for stiff and highly oscillatory dynamical systems
- A reversible averaging integrator for multiple time-scale dynamics
- scientific article; zbMATH DE number 4100520
Langevinnumerical examplesHamiltonian systemsHamiltonianstructure preservingFermi-Pasta-Ulam problemstiff equationsnonintrusive\(F\)-convergencestochastic differential equations (SDE)flow averagingmultiscale integrators
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Multiple scale methods for ordinary differential equations (34E13) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15)
Cited In (47)
- Multirevolution integrators for differential equations with fast stochastic oscillations
- High order variational integrators in the optimal control of mechanical systems
- New time differencing methods for spectral methods
- Construction and analysis of higher order Galerkin variational integrators
- Plenary Lecture 10: Accelerate your favorite numerical integrator with two lines of code
- Multiscale stochastic simulations of chemical reactions with regulated scale separation
- Gamblets for opening the complexity-bottleneck of implicit schemes for hyperbolic and parabolic ODEs/PDEs with rough coefficients
- Variational integrators for electric circuits
- Methodological and computational aspects of parallel tempering methods in the infinite swapping limit
- A multiscale method for highly oscillatory dynamical systems using a Poincaré map type technique
- Linear singularly perturbed systems without slow-fast split
- Uniformly accurate multiscale time integrators for second order oscillatory differential equations with large initial data
- Numerical stroboscopic averaging for ODEs and DAEs
- Efficiency gains of a multi-scale integration method applied to a scale-separated model for rapidly rotating dynamos
- Analysis of multiscale integrators for multiple attractors and irreversible Langevin samplers
- Discrete variational Lie group formulation of geometrically exact beam dynamics
- Oscillatory systems with three separated time scales: Analysis and computation
- A semi-analytical approach to molecular dynamics
- Automated construction of effective potential via algorithmic implicit bias
- Geometric integrators for multiple time-scale simulation
- High order numerical methods for highly oscillatory problems
- Implicit one-step dynamic algorithms with configuration-dependent parameters: application to central force fields
- Accurate and efficient simulations of Hamiltonian mechanical systems with discontinuous potentials
- Understanding and Mitigating Gradient Flow Pathologies in Physics-Informed Neural Networks
- A variational approach to multirate integration for constrained systems
- On HMM-like integrators and projective integration methods for systems with multiple time scales
- Asymptotic stability of singularly perturbed differential equations
- Computing effective diffusivities in 3D time-dependent chaotic flows with a convergent Lagrangian numerical method
- NySALT: Nyström-type inference-based schemes adaptive to large time-stepping
- C1‐continuous space‐time discretization based on Hamilton's law of varying action
- An efficient numerical method for solving dynamical systems with multiple time scales
- Semi-analytical time differencing methods for stiff problems
- A toolbox of equation-free functions in Matlab/Octave for efficient system level simulation
- Numerical integrators for motion under a strong constraining force
- Higher Order Phase Averaging for Highly Oscillatory Systems
- Multiple Time Scale Numerical Methods for the Inverted Pendulum Problem
- Implicit mass-matrix penalization of Hamiltonian dynamics with application to exact sampling of stiff systems
- Adaptive learning of effective dynamics for online modeling of complex systems
- Computing singularly perturbed differential equations
- Variational discretizations for the generalized Rosenau-type equations
- Variable step size multiscale methods for stiff and highly oscillatory dynamical systems
- A reversible averaging integrator for multiple time-scale dynamics
- A multiscale computation for highly oscillatory dynamical systems using empirical mode decomposition (EMD)-type methods
- Parareal multiscale methods for highly oscillatory dynamical systems
- Simply improved averaging for coupled oscillators and weakly nonlinear waves
- Stochastic variational principles for dissipative equations with advected quantities
- A multiscale molecular dynamics method for isothermal dynamic problems using the seamless heterogeneous multiscale method
Uses Software
This page was built for publication: Nonintrusive and structure preserving multiscale integration of stiff ODEs, SDEs, and Hamiltonian systems with hidden slow dynamics via flow averaging
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3067567)
