Stochastic Variational Partitioned Runge-Kutta Integrators for Constrained Systems
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Publication:6206791
arXiv0709.2222MaRDI QIDQ6206791FDOQ6206791
Authors: Nawaf Bou-Rabee, Houman Owhadi 
Publication date: 14 September 2007
Abstract: Stochastic variational integrators for constrained, stochastic mechanical systems are developed in this paper. The main results of the paper are twofold: an equivalence is established between a stochastic Hamilton-Pontryagin (HP) principle in generalized coordinates and constrained coordinates via Lagrange multipliers, and variational partitioned Runge-Kutta (VPRK) integrators are extended to this class of systems. Among these integrators are first and second-order strongly convergent RATTLE-type integrators. We prove order of accuracy of the methods provided. The paper also reviews the deterministic treatment of VPRK integrators from the HP viewpoint.
Dynamical aspects of finite-dimensional Hamiltonian and Lagrangian systems (37Jxx) Probabilistic methods, stochastic differential equations (65Cxx)
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