A data-driven method for the steady state of randomly perturbed dynamics
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Publication:6301438
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)
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.
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