Numerical approximation of the Frobenius-Perron operator using the finite volume method
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Publication:4606693
PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for problems pertaining to probability theory (60-08) Signal detection and filtering (aspects of stochastic processes) (60G35) Sequential estimation (62L12) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
Abstract: We develop a finite-dimensional approximation of the Frobenius-Perron operator using the finite volume method applied to the continuity equation for the evolution of probability. A Courant-Friedrichs-Lewy condition ensures that the approximation satisfies the Markov property, while existing convergence theory for the finite volume method guarantees convergence of the discrete operator to the continuous operator as mesh size tends to zero. Properties of the approximation are demonstrated in a computed example of sequential inference for the state of a low-dimensional mechanical system when observations give rise to multi-modal distributions.
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Cited in
(6)- High order approximation of the Frobenius-Perron operator
- Ensemble-based method for the inverse Frobenius-Perron operator problem: data-driven global analysis from spatiotemporal ``movie data
- Discretization of the Frobenius-Perron operator using a sparse Haar tensor basis: the sparse Ulam method
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