An official website of the United States government
A Brownian bridge is a continuous random walk conditioned to end in a given region by adding an effective drift to guide paths toward the desired region of phase space. This idea has many applications in chemical science where one wants to control the endpoint of a stochastic process—e.g., polymer physics, chemical reaction pathways, heat/mass transfer, and Brownian dynamics simulations. Despite its broad applicability, the biggest limitation of the Brownian bridge technique is that it is often difficult to determine the effective drift as it comes from a solution of a Backward Fokker–Planck (BFP) equation that is infeasible to compute for complex or high-dimensional systems. This paper introduces a fast approximation method to generate a Brownian bridge process without solving the BFP equation explicitly. Specifically, this paper uses the asymptotic properties of the BFP equation to generate an approximate drift and determine ways to correct (i.e., re-weight) any errors incurred from this approximation. Because such a procedure avoids the solution of the BFP equation, we show that it drastically accelerates the generation of conditioned random walks. We also show that this approach offers reasonable improvement compared to other sampling approaches using simple bias potentials.
more »
« less
Stochastic Bridges of Linear Systems
We consider particles obeying Langevin dynamics while being at known positions and having known velocities at the two end-points of a given interval. Their motion in phase space can be modeled as an Ornstein–Uhlenbeck process conditioned at the two end-points—a generalization of the Brownian bridge. Using standard ideas from stochastic optimal control we construct a stochastic differential equation (SDE) that generates such a bridge that agrees with the statistics of the conditioned process, as a degenerate diffusion. Higher order linear diffusions are also considered. In general, a time-varying drift is sufficient to modify the prior SDE and meet the end-point conditions. When the drift is obtained by solving a suitable differential Lyapunov equation, the SDE models correctly the statistics of the bridge. These types of models are relevant in controlling and modeling distribution of particles and the interpolation of density functions.
more »
« less
- PAR ID:
- 10114173
- Date Published:
- Journal Name:
- IEEE Transactions on Automatic Control
- Volume:
- 61
- Issue:
- 2
- ISSN:
- 0018-9286
- Page Range / eLocation ID:
- 526-530
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
More Like this
-
-
Abstract Although the governing equations of many systems, when derived from first principles, may be viewed as known, it is often too expensive to numerically simulate all the interactions they describe. Therefore, researchers often seek simpler descriptions that describe complex phenomena without numerically resolving all the interacting components. Stochastic differential equations (SDEs) arise naturally as models in this context. The growth in data acquisition, both through experiment and through simulations, provides an opportunity for the systematic derivation of SDE models in many disciplines. However, inconsistencies between SDEs and real data at short time scales often cause problems, when standard statistical methodology is applied to parameter estimation. The incompatibility between SDEs and real data can be addressed by deriving sufficient statistics from the time-series data and learning parameters of SDEs based on these. Here, we study sufficient statistics computed from time averages, an approach that we demonstrate to lead to sufficient statistics on a variety of problems and that has the secondary benefit of obviating the need to match trajectories. Following this approach, we formulate the fitting of SDEs to sufficient statistics from real data as an inverse problem and demonstrate that this inverse problem can be solved by using ensemble Kalman inversion. Furthermore, we create a framework for non-parametric learning of drift and diffusion terms by introducing hierarchical, refinable parameterizations of unknown functions, using Gaussian process regression. We demonstrate the proposed methodology for the fitting of SDE models, first in a simulation study with a noisy Lorenz ’63 model, and then in other applications, including dimension reduction in deterministic chaotic systems arising in the atmospheric sciences, large-scale pattern modeling in climate dynamics and simplified models for key observables arising in molecular dynamics. The results confirm that the proposed methodology provides a robust and systematic approach to fitting SDE models to real data.more » « less
-
We present a new method to sample conditioned trajectories of a system evolving under Langevin dynamics based on Brownian bridges. The trajectories are conditioned to end at a certain point (or in a certain region) in space. The bridge equations can be recast exactly in the form of a non-linear stochastic integro-differential equation. This equation can be very well approximated when the trajectories are closely bundled together in space, i.e., at low temperature, or for transition paths. The approximate equation can be solved iteratively using a fixed point method. We discuss how to choose the initial trajectories and show some examples of the performance of this method on some simple problems. This method allows us to generate conditioned trajectories with a high accuracy.more » « less
-
We study the asymptotic behavior, uniform-in-time, of a nonlinear dynamical system under the combined effects of fast periodic sampling with period [Formula: see text] and small white noise of size [Formula: see text]. The dynamics depend on both the current and recent measurements of the state, and as such it is not Markovian. Our main results can be interpreted as Law of Large Numbers (LLN) and Central Limit Theorem (CLT) type results. LLN type result shows that the resulting stochastic process is close to an ordinary differential equation (ODE) uniformly in time as [Formula: see text] Further, in regards to CLT, we provide quantitative and uniform-in-time control of the fluctuations process. The interaction of the small parameters provides an additional drift term in the limiting fluctuations, which captures both the sampling and noise effects. As a consequence, we obtain a first-order perturbation expansion of the stochastic process along with time-independent estimates on the remainder. The zeroth- and first-order terms in the expansion are given by an ODE and SDE, respectively. Simulation studies that illustrate and supplement the theoretical results are also provided.more » « less
-
This paper investigates particle deposition driven by fluid evaporation in a single pore channel representative of those found in porous membranes. A moving boundary problem for the 2D heat equation is coupled with an evolution equation for the pore radius, and describes the physical processes of fluid evaporation, diffusion of the particle concentration, and deposition on the pore channel wall. Furthermore, a stochastic differential equation (SDE) approach based on a Brownian motion particle-level description of diffusion is used as a similar phenomenological representation to the partial differential equation (PDE) model. Sensitivity analysis reveals trends in dominant model parameters such as evaporation rate, deposition rate, the volume scaling coefficient, and investigates the monotonicity of concentration. Evaluations of the asymptotically reduced model and the SDE model against the 2D PDE model are done in terms of the pore radius and solute concentration over time. For further exploration, we apply the model to a 2D droplet as well with both deterministic and stochastic approaches.more » « less
- Free Publicly Accessible Full Text
-
Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1109/TAC.2015.2440567
