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Ordered Line Integral Methods for Computing the Quasi-potential. (arXiv:1706.07509v1 [math.NA])

来源于:arXiv
The quasi-potential is a key function in the Large Deviation Theory. It characterizes the difficulty of the escape from the neighborhood of an attractor of a stochastic non-gradient dynamical system due to the influence of small white noise. It also gives an estimate of the invariant probability distribution in the neighborhood of the attractor up to the exponential order. We present a new family of methods for computing the quasi-potential on a regular mesh named the Ordered Line Integral Methods (OLIMs). In comparison with the first proposed quasi-potential finder based on the Ordered Upwind Method (OUM) (Cameron, 2012), the new methods are 1.5 to 3.5 times faster, can produce error about two orders of magnitude smaller, and may exhibit faster convergence. Similar to the OUM, OLIMs employ the dynamical programming principle. Contrary to it, they (i) have an optimized strategy for the use of computationally expensive triangle updates leading to a notable speed-up, and (ii) directly so 查看全文>>