A method that is employed to evaluate a Koopman matrix from a data set of snapshot pairs is the extended dynamical mode decomposition (EDMD). The Koopman operator is a linear but infinite-dimensional operator that governs the evolution of observables, and is beneficial when employed in the analysis of dynamics. The Koopman matrix corresponds to an approximation of the Koopman operator, requiring a specific dictionary to represent the operator. In this study, an alternative approach for evaluating the Koopman matrix for stochastic differential equations has been proposed. Using the system equations the Koopman matrix can be directly derived without any sampling. Hence, this approach is complementary to a data-driven approach provided a prior knowledge of the system equations is available. The proposed method comprises combinatorics, an approximation of the resolvent, and extrapolations. Comparisons with the EDMD have also been demonstrated considering a noisy van der Pol system. The proposed method yields reasonable results even in cases wherein the EDMD exhibits a slow convergence behavior.
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The recently proposed statistical finite element (statFEM) approach synthesises measurement data with finite element models and allows for making predictions about the true system response. We provide a probabilistic error analysis for a prototypical statFEM setup based on a Gaussian process prior under the assumption that the noisy measurement data are generated by a deterministic true system response function that satisfies a second-order elliptic partial differential equation for an unknown true source term. In certain cases, properties such as the smoothness of the source term may be misspecified by the Gaussian process model. The error estimates we derive are for the expectation with respect to the measurement noise of the $L^2$-norm of the difference between the true system response and the mean of the statFEM posterior. The estimates imply polynomial rates of convergence in the numbers of measurement points and finite element basis functions and depend on the Sobolev smoothness of the true source term and the Gaussian process model. A numerical example for Poisson's equation is used to illustrate these theoretical results.
We present a fast direct solver for boundary integral equations on complex surfaces in three dimensions, using an extension of the recently introduced strong recursive skeletonization scheme. For problems that are not highly oscillatory, our algorithm computes an ${LU}$-like hierarchical factorization of the dense system matrix, permitting application of the inverse in $O(N)$ time, where $N$ is the number of unknowns on the surface. The factorization itself also scales linearly with the system size, albeit with a somewhat larger constant. The scheme is built on a level-restricted, adaptive octree data structure and therefore it is compatible with highly nonuniform discretizations. Furthermore, the scheme is coupled with high-order accurate locally-corrected Nystr\"om quadrature methods to integrate the singular and weakly-singular Green's functions used in the integral representations. Our method has immediate application to a variety of problems in computational physics. We concentrate here on studying its performance in acoustic scattering (governed by the Helmholtz equation) at low to moderate frequencies.
The main aim of this paper is to solve an inverse source problem for a general nonlinear hyperbolic equation. Combining the quasi-reversibility method and a suitable Carleman weight function, we define a map of which fixed point is the solution to the inverse problem. To find this fixed point, we define a recursive sequence with an arbitrary initial term by the same manner as in the classical proof of the contraction principle. Applying a Carleman estimate, we show that the sequence above converges to the desired solution with the exponential rate. Therefore, our new method can be considered as an analog of the contraction principle. We rigorously study the stability of our method with respect to noise. Numerical examples are presented.
A numerical algorithm is presented to solve a benchmark problem proposed by Hemker. The algorithm incorporates asymptotic information into the design of appropriate piecewise-uniform Shishkin meshes. Moreover, different co-ordinate systems are utilized due to the different geometries and associated layer structures that are involved in this problem. Numerical results are presented to demonstrate the effectiveness of the proposed numerical algorithm.
We investigate the problem of approximating the matrix function $f(A)$ by $r(A)$, with $f$ a Markov function, $r$ a rational interpolant of $f$, and $A$ a symmetric Toeplitz matrix. In a first step, we obtain a new upper bound for the relative interpolation error $1-r/f$ on the spectral interval of $A$. By minimizing this upper bound over all interpolation points, we obtain a new, simple and sharp a priori bound for the relative interpolation error. We then consider three different approaches of representing and computing the rational interpolant $r$. Theoretical and numerical evidence is given that any of these methods for a scalar argument allows to achieve high precision, even in the presence of finite precision arithmetic. We finally investigate the problem of efficiently evaluating $r(A)$, where it turns out that the relative error for a matrix argument is only small if we use a partial fraction decomposition for $r$ following Antoulas and Mayo. An important role is played by a new stopping criterion which ensures to automatically find the degree of $r$ leading to a small error, even in presence of finite precision arithmetic.
The asymptotic stable region and long-time decay rate of solutions to linear homogeneous Caputo time fractional ordinary differential equations (F-ODEs) are known to be completely determined by the eigenvalues of the coefficient matrix. Very different from the exponential decay of solutions to classical ODEs, solutions of F-ODEs decay only polynomially, leading to the so-called Mittag-Leffler stability, which was already extended to semi-linear F-ODEs with small perturbations. This work is mainly devoted to the qualitative analysis of the long-time behavior of numerical solutions. By applying the singularity analysis of generating functions developed by Flajolet and Odlyzko (SIAM J. Disc. Math. 3 (1990), 216-240), we are able to prove that both $\mathcal{L}$1 scheme and strong $A$-stable fractional linear multistep methods (F-LMMs) can preserve the numerical Mittag-Leffler stability for linear homogeneous F-ODEs exactly as in the continuous case. Through an improved estimate of the discrete fractional resolvent operator, we show that strong $A$-stable F-LMMs are also Mittag-Leffler stable for semi-linear F-ODEs under small perturbations. For the numerical schemes based on $\alpha$-difference approximation to Caputo derivative, we establish the Mittag-Leffler stability for semi-linear problems by making use of properties of the Poisson transformation and the decay rate of the continuous fractional resolvent operator. Numerical experiments are presented for several typical time fractional evolutional equations, including time fractional sub-diffusion equations, fractional linear system and semi-linear F-ODEs. All the numerical results exhibit the typical long-time polynomial decay rate, which is fully consistent with our theoretical predictions.
We investigate the nonlinear dynamics of a moving interface in a Hele-Shaw cell subject to an in-plane applied electric field. We develop a spectrally accurate boundary integral method where a coupled integral equation system is formulated. Although the stiffness due to the high order spatial derivatives can be removed, the long-time simulation is still expensive since the evolving velocity of the interface drops dramatically as the interface expands. We remove this physically imposed stiffness by employing a rescaling scheme, which accelerates the slow dynamics and reduces the computational cost. Our nonlinear results reveal that positive currents restrain finger ramification and promote overall stabilization of patterns. On the other hand, negative currents make the interface more unstable and lead to the formation of thin tail structures connecting the fingers and a small inner region. When no flux is injected, and a negative current is utilized, the interface tends to approach the origin and break up into several drops. We investigate the temporal evolution of the smallest distance between the interface and the origin and find that it obeys an algebraic law $\displaystyle (t_*-t)^b$, where $t_*$ is the estimated pinch-off time.
We develop an \textit{a posteriori} error analysis for the time of the first occurrence of an event, specifically, the time at which a functional of the solution to a partial differential equation (PDE) first achieves a threshold value on a given time interval. This novel quantity of interest (QoI) differs from classical QoIs which are modeled as bounded linear (or nonlinear) functionals. Taylor's theorem and an adjoint-based \textit{a posteriori} analysis is used to derive computable and accurate error estimates for semi-linear parabolic and hyperbolic PDEs. The accuracy of the error estimates is demonstrated through numerical solutions of the one-dimensional heat equation and linearized shallow water equations (SWE), representing parabolic and hyperbolic cases, respectively.
Approximations of optimization problems arise in computational procedures and sensitivity analysis. The resulting effect on solutions can be significant, with even small approximations of components of a problem translating into large errors in the solutions. We specify conditions under which approximations are well behaved in the sense of minimizers, stationary points, and level-sets and this leads to a framework of consistent approximations. The framework is developed for a broad class of composite problems, which are neither convex nor smooth. We demonstrate the framework using examples from stochastic optimization, neural-network based machine learning, distributionally robust optimization, penalty and augmented Lagrangian methods, interior-point methods, homotopy methods, smoothing methods, extended nonlinear programming, difference-of-convex programming, and multi-objective optimization. An enhanced proximal method illustrates the algorithmic possibilities. A quantitative analysis supplements the development by furnishing rates of convergence.
In this paper, we study the optimal convergence rate for distributed convex optimization problems in networks. We model the communication restrictions imposed by the network as a set of affine constraints and provide optimal complexity bounds for four different setups, namely: the function $F(\xb) \triangleq \sum_{i=1}^{m}f_i(\xb)$ is strongly convex and smooth, either strongly convex or smooth or just convex. Our results show that Nesterov's accelerated gradient descent on the dual problem can be executed in a distributed manner and obtains the same optimal rates as in the centralized version of the problem (up to constant or logarithmic factors) with an additional cost related to the spectral gap of the interaction matrix. Finally, we discuss some extensions to the proposed setup such as proximal friendly functions, time-varying graphs, improvement of the condition numbers.
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