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Dependable numerical results from long-time simulations require stable numerical integration schemes. For Hamiltonian systems, this is achieved with symplectic integrators, which conserve the symplectic condition and exactly solve for the…
A broad class of nonlinear acoustic wave models possess a Hamiltonian structure in their dissipation-free limit and a gradient flow structure for their dissipative dynamics. This structure may be exploited to design numerical methods which…
We present a discrete total variation calculus in Hamiltonian formalism in this paper. Using this discrete variation calculus and generating functions for the flows of Hamiltonian systems, we derive two-step symplectic-energy integrators of…
Discretizing continuous-time linear systems typically requires numerical integration. This document presents a convenient method for discretizing the dynamics, input, and process noise state-space matrices of a continuous-time linear system…
The difference and similarity between the velocity- and position-Verlet integrators are discussed from the viewpoint of their Hamiltonian representations for both linear and nonlinear systems. For a harmonic oscillator, the exact…
This paper investigates the structure preservation and convergence analysis of a class of fully discrete finite difference schemes for the stochastic heat equation driven by L\'evy space-time white noise. The novelty lies in the…
We consider a fully discrete scheme for nonlinear stochastic partial differential equations with non-globally Lipschitz coefficients driven by multiplicative noise in a multi-dimensional setting. Our method uses a polynomial based spectral…
This work presents a novel formulation and numerical strategy for the simulation of geometrically nonlinear structures. First, a non-canonical Hamiltonian (Poisson) formulation is introduced by including the dynamics of the stress tensor.…
The paper proposes an algorithm for a discretization (sampled-time implementation) of a homogeneous control preserving the finite-time and nearly fixed-time stability property of the original (sampling-free) system. The sampling period is…
We present a recursive formula for the computation of the static effective Hamiltonian of a system under a fast-oscillating drive. Our analytical result is well-suited to symbolic calculations performed by a computer and can be implemented…
We consider stochastic dynamical systems defined by differential equations with a uniform random time delay. The latter equations are shown to be equivalent to deterministic higher-order differential equations: for an $n$-th order equation…
We consider a two-dimensional weakly dissipative dynamical system with time-periodic drift and diffusion coefficients. The average of the drift is governed by a degenerate Hamiltonian whose set of critical points has an interior. The…
In the last few decades, numerical simulation for nonlinear oscillators has received a great deal of attention, and many researchers have been concerned with the design and analysis of numerical methods for solving oscillatory problems. In…
This work focuses on topics related to Hamiltonian stochastic differential equations with L\'{e}vy noise. We first show that the phase flow of the stochastic system preserves symplectic structure, and propose a stochastic version of…
We consider the problem of minimizing a convex function that is evolving according to unknown and possibly stochastic dynamics, which may depend jointly on time and on the decision variable itself. Such problems abound in the machine…
The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of…
We show how the Hamiltonian Monte Carlo algorithm can sometimes be speeded up by "splitting" the Hamiltonian in a way that allows much of the movement around the state space to be done at low computational cost. One context where this is…
Two specialized algorithms for the numerical integration of the equations of motion of a Brownian walker obeying detailed balance are introduced. The algorithms become symplectic in the appropriate limits, and reproduce the equilibrium…
Stochastic contact Hamiltonian systems are a class of important mathematical models, which can describe the dissipative properties with odd dimensions in the stochastic environment. In this article, we investigate the numerical dynamics of…
Variational integrators for Lagrangian dynamical systems provide a systematic way to derive geometric numerical methods. These methods preserve a discrete multisymplectic form as well as momenta associated to symmetries of the Lagrangian…