An iterative action minimizing method for computing optimal paths in stochastic dynamical systems

PHYSICA D-NONLINEAR PHENOMENA

卷:255

Article

Lindley, Brandon S.¹  Schwartz, Ira B.¹ 

[1] USN, Res Lab, Div Plasma Phys, Nonlinear Syst Dynam Sect, Washington, DC 20375 USA

关键词: Stochastic dynamical systems;    Transition-path theory;    Optimal paths;    Stochastic differential equations;   

DOI  :  10.1016/j.physd.2013.04.001

来源: Elsevier

【 摘 要 】

We present a numerical method for computing optimal transition pathways and transition rates in systems of stochastic differential equations (SDEs). In particular, we compute the most probable transition path of stochastic equations by minimizing the effective action in a corresponding deterministic Hamiltonian system. The numerical method presented here involves using an iterative scheme for solving a two-point boundary value problem for the Hamiltonian system. We validate our method by applying it to both continuous stochastic systems, such as nonlinear oscillators governed by the Duffing equation, and finite discrete systems, such as epidemic problems, which are governed by a set of master equations. Furthermore, we demonstrate that this method is capable of dealing with stochastic systems of delay differential equations. Published by Elsevier B.V.

【 授权许可】

Free