相关论文: Stochastic Lie group integrators

Since they were introduced in the 1990s, Lie group integrators have become a method of choice in many application areas. These include multibody dynamics, shape analysis, data science, image registration and biophysical simulations. Two…

We propose a geometric integrator to numerically approximate the flow of Lie systems. The key is a novel procedure that integrates the Lie system on a Lie group intrinsically associated with a Lie system on a general manifold via a Lie…

We study solutions to nonlinear stochastic differential systems driven by a multi-dimensional Wiener process. A useful algorithm for strongly simulating such stochastic systems is the Castell--Gaines method, which is based on the…

Variational integrators are derived for structure-preserving simulation of stochastic Hamiltonian systems with a certain type of multiplicative noise arising in geometric mechanics. The derivation is based on a stochastic discrete…

Casimir preserving integrators for stochastic Lie-Poisson equations with Stratonovich noise are developed extending Runge-Kutta Munthe-Kaas methods. The underlying Lie-Poisson structure is preserved along stochastic trajectories. A related…

Since their introduction, Lie group integrators have become a method of choice in many application areas. Various formulations of these integrators exist, and in this work we focus on Runge--Kutta--Munthe--Kaas methods. First, we briefly…

A Lie system is a non-autonomous system of first-order ordinary differential equations whose general solution can be written via an autonomous function, a so-called (nonlinear) superposition rule of a finite number of particular solutions…

This paper provides a practical approach to stochastic Lie systems, i.e. stochastic differential equations whose general solutions can be written as a function depending only on a generic family of particular solutions and some constants…

Variational integrators are derived for structure-preserving simulation of stochastic forced Hamiltonian systems. The derivation is based on a stochastic discrete Hamiltonian which approximates a type-II stochastic generating function for…

This paper presents symmetry reduction for material stochastic Lagrangian systems with advected quantities whose configuration space is a Lie group. Such variational principles yield deterministic as well as stochastic constrained…

In this survey we discuss a wide variety of aspects related to Lie group integrators. These numerical integration schemes for differential equations on manifolds have been studied in a general and systematic manner since the 1990s and the…

In many applications, one encounters signals that lie on manifolds rather than a Euclidean space. In particular, covariance matrices are examples of ubiquitous mathematical objects that have a non Euclidean structure. The application of…

Differential equations posed on quadratic matrix Lie groups arise in the context of classical mechanics and quantum dynamical systems. Lie group numerical integrators preserve the constants of motions defining the Lie group. Thus, they…

The anelastic and pseudo-incompressible equations are two well-known soundproof approximations of compressible flows useful for both theoretical and numerical analysis in meteorology, atmospheric science, and ocean studies. In this paper,…

A stochastic Lie system on a manifold $M$ is a stochastic differential equation whose dynamics is described by a linear combination with functions depending on $\mathbb{R}^\ell$-valued semi-martigales of vector fields on $M$ spanning a…

We derive variational integrators for stochastic Hamiltonian systems on Lie groups using a discrete version of the stochastic Hamiltonian phase space principle. The structure-preserving properties of the resulting scheme, such as…

In this paper we develop a differential Galois theory for algebraic Lie-Vessiot systems in algebraic homogeneous spaces. Lie-Vessiot systems are non autonomous vector fields that are linear combinations with time-dependent coefficients of…

This paper presents a continuous and discrete Lagrangian theory for stochastic Hamiltonian systems on manifolds. The main result is to derive stochastic governing equations for such systems from a critical point of a stochastic action.…

We consider stochastic differential systems driven by continuous semimartingales and governed by non-commuting vector fields. We prove that the logarithm of the flowmap is an exponential Lie series. This relies on a natural change of basis…

Lie scale invariance is used to reduce the incompressible Navier-Stokes equations to non-linear ordinary equations. This yields a formulation in terms of logarithmic spirals as independent variables. We give the equations when the spirals…