The paper establishes the strong convergence rates of a spatio-temporal full discretization of the stochastic wave equation with nonlinear damping in dimension one and two. We discretize the SPDE by applying a spectral Galerkin method in space and a modified implicit exponential Euler scheme in time. The presence of the super-linearly growing damping in the underlying model brings challenges into the error analysis. To address these difficulties, we first achieve upper mean-square error bounds, and then obtain mean-square convergence rates of the considered numerical solution. This is done without requiring the moment bounds of the full approximations. The main result shows that, in dimension one, the scheme admits a convergence rate of order $\tfrac12$ in space and order $1$ in time. In dimension two, the error analysis is more subtle and can be done at the expense of an order reduction due to an infinitesimal factor. Numerical experiments are performed and confirm our theoretical findings.
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We study many-valued coalgebraic logics with semi-primal algebras of truth-degrees. We provide a systematic way to lift endofunctors defined on the variety of Boolean algebras to endofunctors on the variety generated by a semi-primal algebra. We show that this can be extended to a technique to lift classical coalgebraic logics to many-valued ones, and that (one-step) completeness and expressivity are preserved under this lifting. For specific classes of endofunctors, we also describe how to obtain an axiomatization of the lifted many-valued logic directly from an axiomatization of the original classical one. In particular, we apply all of these techniques to classical modal logic.
A key numerical difficulty in compressible fluid dynamics is the formation of shock waves. Shock waves feature jump discontinuities in the velocity and density of the fluid and thus preclude the existence of classical solutions to the compressible Euler equations. Weak "entropy" solutions are commonly defined by viscous regularization, but even small amounts of viscosity can substantially change the long-term behavior of the solution. In this work, we propose an inviscid regularization based on ideas from semidefinite programming and information geometry. From a Lagrangian perspective, shock formation in entropy solutions amounts to inelastic collisions of fluid particles. Their trajectories are akin to that of projected gradient descent on a feasible set of nonintersecting paths. We regularize these trajectories by replacing them with solution paths of interior point methods based on log determinantal barrier functions. These paths are geodesic curves with respect to the information geometry induced by the barrier function. Thus, our regularization amounts to replacing the Euclidean geometry of phase space with a suitable information geometry. We extend this idea to infinite families of paths by viewing Euler's equations as a dynamical system on a diffeomorphism manifold. Our regularization embeds this manifold into an information geometric ambient space, equipping it with a geodesically complete geometry. Expressing the resulting Lagrangian equations in Eulerian form, we derive a regularized Euler equation in conservation form. Numerical experiments on one and two-dimensional problems show its promise as a numerical tool.
A Milstein-type method is proposed for some highly non-linear non-autonomous time-changed stochastic differential equations (SDEs). The spatial variables in the coefficients of the time-changed SDEs satisfy the super-linear growth condition and the temporal variables obey some H\"older's continuity condition. The strong convergence in the finite time is studied and the convergence order is obtained.
We develop a new continuous-time stochastic gradient descent method for optimizing over the stationary distribution of stochastic differential equation (SDE) models. The algorithm continuously updates the SDE model's parameters using an estimate for the gradient of the stationary distribution. The gradient estimate is simultaneously updated using forward propagation of the SDE state derivatives, asymptotically converging to the direction of steepest descent. We rigorously prove convergence of the online forward propagation algorithm for linear SDE models (i.e., the multi-dimensional Ornstein-Uhlenbeck process) and present its numerical results for nonlinear examples. The proof requires analysis of the fluctuations of the parameter evolution around the direction of steepest descent. Bounds on the fluctuations are challenging to obtain due to the online nature of the algorithm (e.g., the stationary distribution will continuously change as the parameters change). We prove bounds for the solutions of a new class of Poisson partial differential equations (PDEs), which are then used to analyze the parameter fluctuations in the algorithm. Our algorithm is applicable to a range of mathematical finance applications involving statistical calibration of SDE models and stochastic optimal control for long time horizons where ergodicity of the data and stochastic process is a suitable modeling framework. Numerical examples explore these potential applications, including learning a neural network control for high-dimensional optimal control of SDEs and training stochastic point process models of limit order book events.
We establish optimal error bounds for the exponential wave integrator (EWI) applied to the nonlinear Schr\"odinger equation (NLSE) with $ L^\infty $-potential and/or locally Lipschitz nonlinearity under the assumption of $ H^2 $-solution of the NLSE. For the semi-discretization in time by the first-order Gautschi-type EWI, we prove an optimal $ L^2 $-error bound at $ O(\tau) $ with $ \tau>0 $ being the time step size, together with a uniform $ H^2 $-bound of the numerical solution. For the full-discretization scheme obtained by using the Fourier spectral method in space, we prove an optimal $ L^2 $-error bound at $ O(\tau + h^2) $ without any coupling condition between $ \tau $ and $ h $, where $ h>0 $ is the mesh size. In addition, for $ W^{1, 4} $-potential and a little stronger regularity of the nonlinearity, under the assumption of $ H^3 $-solution, we obtain an optimal $ H^1 $-error bound. Furthermore, when the potential is of low regularity but the nonlinearity is sufficiently smooth, we propose an extended Fourier pseudospectral method which has the same error bound as the Fourier spectral method while its computational cost is similar to the standard Fourier pseudospectral method. Our new error bounds greatly improve the existing results for the NLSE with low regularity potential and/or nonlinearity. Extensive numerical results are reported to confirm our error estimates and to demonstrate that they are sharp.
We propose a novel Hadamard integrator for the self-adjoint time-dependent wave equation in an inhomogeneous medium. First, we create a new asymptotic series based on the Gelfand-Shilov function, dubbed Hadamard's ansatz, to approximate the Green's function of the time-dependent wave equation. Second, incorporating the leading term of Hadamard's ansatz into the Kirchhoff-Huygens representation, we develop an original Hadamard integrator for the Cauchy problem of the time-dependent wave equation and derive the corresponding Lagrangian formulation in geodesic polar coordinates. Third, to construct the Hadamard integrator in the Lagrangian formulation efficiently, we use a short-time ray tracing method to obtain wavefront locations accurately, and we further develop fast algorithms to compute Chebyshev-polynomial based low-rank representations of both wavefront locations and variants of Hadamard coefficients. Fourth, equipped with these low-rank representations, we apply the Hadamard integrator to efficiently solve time-dependent wave equations with highly oscillatory initial conditions, where the time step size is independent of the initial conditions. By judiciously choosing the medium-dependent time step, our new Hadamard integrator can propagate wave field beyond caustics implicitly and advance spatially overturning waves in time naturally. Moreover, since the integrator is independent of initial conditions, the Hadamard integrator can be applied to many different initial conditions once it is constructed. Both two-dimensional and three-dimensional numerical examples illustrate the accuracy and performance of the proposed method.
The Koopman operator provides a linear perspective on non-linear dynamics by focusing on the evolution of observables in an invariant subspace. Observables of interest are typically linearly reconstructed from the Koopman eigenfunctions. Despite the broad use of Koopman operators over the past few years, there exist some misconceptions about the applicability of Koopman operators to dynamical systems with more than one fixed point. In this work, an explanation is provided for the mechanism of lifting for the Koopman operator of nonlinear systems with multiple attractors. Considering the example of the Duffing oscillator, we show that by exploiting the inherent symmetry between the basins of attraction, a linear reconstruction with three degrees of freedom in the Koopman observable space is sufficient to globally linearize the system.
This paper proposes a hierarchy of numerical fluxes for the compressible flow equations which are kinetic-energy and pressure equilibrium preserving and asymptotically entropy conservative, i.e., they are able to arbitrarily reduce the numerical error on entropy production due to the spatial discretization. The fluxes are based on the use of the harmonic mean for internal energy and only use algebraic operations, making them less computationally expensive than the entropy-conserving fluxes based on the logarithmic mean. The use of the geometric mean is also explored and identified to be well-suited to reduce errors on entropy evolution. Results of numerical tests confirmed the theoretical predictions and the entropy-conserving capabilities of a selection of schemes have been compared.
We discuss a system of stochastic differential equations with a stiff linear term and additive noise driven by fractional Brownian motions (fBms) with Hurst parameter H>1/2, which arise e. g., from spatial approximations of stochastic partial differential equations. For their numerical approximation, we present an exponential Euler scheme and show that it converges in the strong sense with an exact rate close to the Hurst parameter H. Further, based on [2], we conclude the existence of a unique stationary solution of the exponential Euler scheme that is pathwise asymptotically stable.
Data-driven modeling is useful for reconstructing nonlinear dynamical systems when the underlying process is unknown or too expensive to compute. Having reliable uncertainty assessment of the forecast enables tools to be deployed to predict new scenarios unobserved before. In this work, we first extend parallel partial Gaussian processes for predicting the vector-valued transition function that links the observations between the current and next time points, and quantify the uncertainty of predictions by posterior sampling. Second, we show the equivalence between the dynamic mode decomposition and the maximum likelihood estimator of the linear mapping matrix in the linear state space model. The connection provides a data generating model of dynamic mode decomposition and thus, uncertainty of predictions can be obtained. Furthermore, we draw close connections between different data-driven models for approximating nonlinear dynamics, through a unified view of data generating models. We study two numerical examples, where the inputs of the dynamics are assumed to be known in the first example and the inputs are unknown in the second example. The examples indicate that uncertainty of forecast can be properly quantified, whereas model or input misspecification can degrade the accuracy of uncertainty quantification.
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