PathIntegrationMethod.jl

This package implements the step matrix multiplication path integration (SMM-PI) method to compute of the response probability function of a system described by a $d$-dimensional stochastic differential equation of the form

$$ \mathrm{d} x = f(x,t) \mathrm{d} t + g(x,t) \mathrm{d} W (t).$$

The central part of the formulation of the PI method is the numerical solution of the Chapman-Kolmogorov (CK) equation

$$ p(x,t{n+1}) = \int{\mathbb{R}^d} p(x,t_{n+1}|y,t_n) p(y,t_n)\mathrm{d} y$$

that describes the time evolution of the response PDF $p(x,t)$ between the time steps $tn$ and $t{n+1}$ by transforming the CK equation to a matrix multiplication. The three key elements of the computations are:

• Approximation of the transitional PDF (TPDF) $p(x,t_{n+1}|y,t_n)$
• Spatial discretisation (interpolation) of the PDF $p(x,t_n)$
• Quadrature computation of the integral

Installation

This package yet not released, but can be installed directly from github via the Julia package manager (type ])

pkg> add https://github.com/HTSykora/PathIntegrationMethod.jl#master

Short usage tutorial

Consider the SDE of the cubic oscillator:

$$\mathrm{d} x = v \mathrm{d}t $$

$$\mathrm{d} v = (- 2\zeta\, v + x - \lambda\, x^3) \mathrm{d}t + \sigma \mathrm{d} W(t).$$

First we need to define the component functions:

using PathIntegrationMethod

f1(x,p,t) = x[2]
    function f2(x,p,t)
        ζ, λ, σ = p
        -2ζ*x[2] - x[1] + λ*x[1]^3
    end
g2(x,p,t) = p[3]

p = [0.15, 0.25,sqrt(0.075)]; # ζ, λ, σ = p
sde = SDE((f1,f2),g2,p)

Currently the package assumes that the noise only affects the dynamics of the last (in this case the 2nd) coordinate. In case you need multiple noise sources please open an issue and we will implement it.

Next, define the region of interest and the interpolation with resolutions Nx and Nv:

xmin, xmax, Nx = -3, 3, 71
vmin, vmax, Nv = -3, 3, 71

region = (QuinticAxis(xmin,xmax,Nx), QuinticAxis(vmin,vmax,Nv))

We can use the following interpolations to discretise the PDF:

• Sparse interpolation (fixed number of points used during the interpolation)
  • linear (2-point): LinearAxis
  • cubic (4-point): CubicAxis
  • quintic (6-point): QuinticAxis
• Dense interpolations (uses all the points in the grid for the interpolation)
  • Lagrange interpolation using a Chebyshev grid: ChebyshevAxis
  • Trigonometric interpolation: TrigonometricAxis

Typically, for scalar problems ($d=1$) we recommend ChebyshevAxis, and for problems with $d>1$ we recommend QuinticAxis (or CubicAxis).

Next, we define the method to approximate the drift term of the numerical time stepping used for the TPDF approximation:

method = RK2(α = 2//3);

We can use:

• Explicit Euler step: Euler()
• An explicit second order Runge-Kutta step: RK2(α = 2//3)
  • α = 1//2 Midpoint method
  • α = 2//3 Ralston's method
  • α = 1 Heun's method
• The classic fourth order Runge-Kutta step: RK4()

In the current implementation we can only use the Maruyama approximation ($g(x,t_n) \Delta W(tn)$) for the diffusion term. Due to this the computed PDF approximation can only achieve a mean square error convergence $\varepsilon{MS} = O(\Delta t^{-1})$. However, in the case of higher $d$ dimensions using a higher order method can reduce the error significantly (by a constant multiplier), as it can capture better the interactions between the state variables. A general recommendation is to use a time stepping method with the same order as the dimension $d$ of the system (Euler() for $d = 1$, RK2() for $d = 2$ and RK4() for $d\geq 3$).

Finally, we can define the PathIntegration object that we will use to compute the time evolution of the response PDF of our problem:

    Δt = 0.1;
    PI = PathIntegration(sde, method, Δt, gridaxis);

The PI contains a precomputed step matrix (PI.stepMX) used to advance the response pdf (PI.pdf). For optional and keyword arguments for the PathIntegration and to initialise the response PDF please refer to the help of the PathIntegration function:

?PathIntegration

To advance the PDF a single time step we can use:

advance!(PI)

or to compute the steady-state PDF we can advance PI until PI.pdf converges to the steady-state PDF checking it after every check_dt long interval.

advance_till_conv(PI,  Tmax = 50., rtol = 1e-6, check_dt = 1.)

We can also include a condition that the computation stops in case we reach PI.t == Tmax.

We can now access the (interpolated) values of the PDF $p(x,v,$PI.t$)$ by using PI(x,v). Note that if x or v lies outside of the region of interest then PI(x,v) == 0.

We can reinitialise the response PDF with

f_init = ...
reinit_PI_pdf!(PI, f = f_init)

or if we want to obtain the response PDF evolution of the same system with different we can recompute step matrix in PI:

new_par = ...
recompute_PI!(PI::PathIntegration; par = new_par, f = nothing, Q_reinit_pdf = false, reset_t= true)