Stochastic Variational Partitioned Runge-Kutta Integrators for Constrained Systems
Numerical Analysis
2007-09-23 v2 Probability
Abstract
Stochastic variational integrators for constrained, stochastic mechanical systems are developed in this paper. The main results of the paper are twofold: an equivalence is established between a stochastic Hamilton-Pontryagin (HP) principle in generalized coordinates and constrained coordinates via Lagrange multipliers, and variational partitioned Runge-Kutta (VPRK) integrators are extended to this class of systems. Among these integrators are first and second-order strongly convergent RATTLE-type integrators. We prove order of accuracy of the methods provided. The paper also reviews the deterministic treatment of VPRK integrators from the HP viewpoint.
Keywords
Cite
@article{arxiv.0709.2222,
title = {Stochastic Variational Partitioned Runge-Kutta Integrators for Constrained Systems},
author = {Nawaf Bou-Rabee and Houman Owhadi},
journal= {arXiv preprint arXiv:0709.2222},
year = {2007}
}
Comments
26 pages, 2 figures