Nawaf Bou-Rabee

Hamilton–Pontryagin Integrators on Lie Groups Part I: Introduction and Structure-Preserving Properties

In this paper, structure-preserving time-integrators for rigid body-type mechanical systems are derived from a discrete Hamilton–Pontryagin variational principle. From this principle, one can derive a novel class of variational partitioned Runge–Kutta methods on Lie groups. Included among these integrators are generalizations of symplectic Euler and Störmer–Verlet integrators from flat spaces to Lie groups. Because of their variational design, these integrators preserve a discrete momentum map (in the presence of symmetry) and a symplectic form.In a companion paper, we perform a numerical analysis of these methods and report on numerical experiments on the rigid body and chaotic dynamics of an underwater vehicle. The numerics reveal that these variational integrators possess structure-preserving properties that methods designed to preserve momentum (using the coadjoint action of the Lie group) and energy (for example, by projection) lack.

Stochastic variational integrators

This paper presents a continuous and discrete Lagrangian theory for stochastic Hamiltonian systems on manifolds, akin to the Ornstein–Uhlenbeck theory of Brownian motion in a force field. The main result is to derive governing SDEs for such systems from a critical point of a stochastic action. Using this result, the paper derives Langevin-type equations for constrained mechanical systems and implements a stochastic analogue of Lagrangian reduction. These are easy consequences of the fact that the stochastic action is intrinsically defined. Stochastic variational integrators (SVIs) are developed using a discrete variational principle. The paper shows that the discrete flow of an SVI is almost surely symplectic and in the presence of symmetry almost surely momentum-map preserving. A first-order mean-squared convergent SVI for mechanical systems on Lie groups is introduced. As an application of the theory, SVIs are exhibited for multiple, randomly forced and torqued rigid bodies interacting via a potential.

Long-Run Accuracy of Variational Integrators in the Stochastic Context

This paper presents a Lie-Trotter splitting for inertial Langevin equations (geometric Langevin algorithm) and analyzes its long-time statistical properties. The splitting is defined as a composition of a variational integrator with an Ornstein-Uhlenbeck flow. Assuming that the exact solution and the splitting are geometrically ergodic, the paper proves the discrete invariant measure of the splitting approximates the invariant measure of inertial Langevin equations to within the accuracy of the variational integrator in representing the Hamiltonian. In particular, if the variational integrator admits no energy error, then the method samples the invariant measure of inertial Langevin equations without error. Numerical validation is provided using explicit variational integrators with first-, second-, and fourth-order accuracy.

Tippe Top Inversion as a Dissipation-Induced Instability

By treating tippe top inversion as a dissipation-induced instability, we explain tippe top inversion through a system we call the modified Maxwell--Bloch equations. We revisit previous work done on this problem and follow Ors mathematical model [SIAM J. Appl. Math., 54 (1994), pp. 597--609]. A linear analysis of the equations of motion reveals that the only equilibrium points correspond to the inverted and noninverted states of the tippe top and that the modified Maxwell--Bloch equations describe the linear/spectral stability of these equilibria. We supply explicit criteria for the spectral stability of these states. A nonlinear global analysis based on energetics yields explicit criteria for the existence of a heteroclinic connection between the noninverted and inverted states of the tippe top. This criteria for the existence of a heteroclinic connection turns out to agree with the criteria for spectral stability of the inverted and noninverted states. Throughout the work we support the analysis with numerical evidence and include simulations to illustrate the nonlinear dynamics of the tippe top.

Pathwise Accuracy and Ergodicity of Metropolized Integrators for SDEs

Metropolized integrators for ergodic stochastic differential equations (SDEs) are proposed that (1) are ergodic with respect to the (known) equilibrium distribution of the SDEs and (2) approximate pathwise the solutions of the SDEs on finitetime intervals. Both these properties are demonstrated in the paper, and precise strong error estimates are obtained. It is also shown that the Metropolized integrator retains these properties even in situations where the drift in the SDE is nonglobally Lipschitz, and vanilla explicit integrators for SDEs typically become unstable and fail to be ergodic.

LOCA 1.0 Library of Continuation Algorithms: Theory and Implementation Manual

LOCA, the Library of Continuation Algorithms, is a software library for performing stability analysis of large-scale applications. LOCA enables the tracking of solution branches as a function of a system parameter, the direct tracking of bifurcation points, and, when linked with the ARPACK library, a linear stability analysis capability. It is designed to be easy to implement around codes that already use Newtons method to converge to steady-state solutions. The algorithms are chosen to work for large problems, such as those that arise from discretizations of partial differential equations, and to run on distributed memory parallel machines. This manual presents LOCAs continuation and bifurcation analysis algorithms, and instructions on how to implement LOCA with an application code. The LOCA code is being made publicly available at www.cs.sandia.gov/loca.

A Multiparameter, Numerical Stability Analysis of a Standing Cantilever Conveying Fluid

In this paper, we numerically examine the stability of a standing cantilever conveying fluid in a multiparameter space. Based on nonlinear beam theory, our mathematical model turns out to be replete with exciting behavior, some of which was totally unexpected and novel, and some of which confirm our intuition as well as the work of others. The numerical bifurcation results obtained from applying the Library of Continuation Algorithms (LOCA) reveal a plethora of one, two, and higher codimension bifurcations. For a vertical or standing cantilever beam, bifurcations to buckled solutions (via symmetry breaking) and oscillating solutions are detected as a function of gravity and the fluid-structure interaction. The unfolding of these results as a function of the orientation of the beam compared to gravity is also revealed.

Randomized Hamiltonian Monte Carlo.

Tuning the durations of the Hamiltonian flow in Hamiltonian Monte Carlo (also called Hybrid Monte Carlo) (HMC) involves a tradeoff between computational cost and sampling quality, which is typically challenging to resolve in a satisfactory way. In this article we present and analyze a randomized HMC method (RHMC), in which these durations are i.i.d. exponential random variables whose mean is a free parameter. We focus on the small time step size limit, where the algorithm is rejection-free and the computational cost is proportional to the mean duration. In this limit, we prove that RHMC is geometrically ergodic under the same conditions that imply geometric ergodicity of the solution to underdamped Langevin equations. Moreover, in the context of a multi-dimensional Gaussian distribution, we prove that the sampling efficiency of RHMC, unlike that of constant duration HMC, behaves in a regular way. This regularity is also verified numerically in non-Gaussian target distributions. Finally we suggest variants of RHMC for which the time step size is not required to be small.

Metropolis Integration Schemes for Self-Adjoint Diffusions

We present explicit methods for simulating diffusions whose generator is self-adjoint with respect to a known (but possibly not normalizable) density. These methods exploit this property and combine an optimized Runge--Kutta algorithm with a Metropolis--Hastings Monte Carlo scheme. The resulting numerical integration scheme is shown to be weakly accurate at finite noise and to gain higher order accuracy in the small noise limit. It also permits the user to avoid computing explicitly certain terms in the equation, such as the divergence of the mobility tensor, which can be tedious to calculate. Finally, the scheme is shown to be ergodic with respect to the exact equilibrium probability distribution of the diffusion when it exists. These results are illustrated in several examples, including a Brownian dynamics simulation of DNA in a solvent. In this example, the proposed scheme is able to accurately compute dynamics at time step sizes that are an order of magnitude (or more) larger than those permitted wit...

Dissipation-Induced Heteroclinic Orbits in Tippe Tops

This paper demonstrates that the conditions for the existence of a dissipation-induced heteroclinic orbit between the inverted and noninverted states of a tippe top are determined by a complex version of the equations for a simple harmonic oscillator: the modified Maxwell-Bloch equations. A standard linear analysis reveals that the modified Maxwell-Bloch equations describe the spectral instability of the noninverted state and Lyapunov stability of the inverted state. Standard nonlinear analysis based on the energy momentum method gives necessary and sufficient conditions for the existence of a dissipation-induced connecting orbit between these relative equilibria.