Adaptive Hamiltonian variational integrators and applications to symplectic accelerated optimization
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Publication:5010240
Numerical optimization and variational techniques (65K10) Dynamical systems in optimization and economics (37N40) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Canonical and symplectic transformations for problems in Hamiltonian and Lagrangian mechanics (70H15)
Abstract: It is well known that symplectic integrators lose their near energy preservation properties when variable step sizes are used. The most common approach to combine adaptive step sizes and symplectic integrators involves the Poincar'e transformation of the original Hamiltonian. In this article, we provide a framework for the construction of variational integrators using the Poincar'e transformation. Since the transformed Hamiltonian is typically degenerate, the use of Hamiltonian variational integrators based on Type II or Type III generating functions is required instead of the more traditional Lagrangian variational integrators based on Type I generating functions. Error analysis is provided and numerical tests based on the Taylor variational integrator approach of Schmitt, Shingel, Leok (2018) to time-adaptive variational integration of Kepler's 2-Body problem are presented. Finally, we use our adaptive framework together with the variational approach to accelerated optimization presented in Wibisono, Wilson, Jordan (2016) to design efficient variational and non-variational explicit integrators for symplectic accelerated optimization.
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