A data-driven method for the steady state of randomly perturbed dynamics
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Publication:6301438
DOI10.4310/CMS.2019.V17.N4.A9arXiv1805.04099WikidataQ126983882 ScholiaQ126983882MaRDI QIDQ6301438FDOQ6301438
Authors: Yao Li 
Publication date: 10 May 2018
Abstract: We demonstrate a data-driven method to solve for the invariant probability density function of a randomly perturbed dynamical system. The key idea is to replace the boundary condition of numerical schemes by a least squares problem corresponding to a reference solution, which is generated by Monte Carlo simulation. With this method we can solve for the invariant probability density function in any local area with high accuracy, regardless of whether the attractor is covered by the numerical domain.
Monte Carlo methods (65C05) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for partial differential equations, boundary value problems (65N99)
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