BOUNDING STATIONARY AVERAGES OF POLYNOMIAL DIFFUSIONS VIA SEMIDEFINITE PROGRAMMING

作者：Kuntz Juan^*; Ottobre Michela; Stan Guy Bart; Barahona Mauricio

来源：SIAM Journal on Scientific Computing, 2016, 38(6): A3891-A3920.

DOI：10.1137/16M107801X

• stochastic differential equations
• stationary measures
• semidefinite programming
• moment problems
• Lyapunov exponents

We introduce an algorithm based on semidefinite programming that yields increasing (resp., decreasing) sequences of lower (resp., upper) bounds on polynomial stationary averages of diffusions with polynomial drift vector and diffusion coefficients. The bounds are obtained by optimizing an objective, determined by the stationary average of interest, over the set of real vectors defined by certain linear equalities and semide finite inequalities which are satisfied by the moments of any stationary measure of the diffusion. We exemplify the use of the approach through several applications: a Bayesian inference problem; the computation of Lyapunov exponents of linear ordinary differential equations perturbed by multiplicative white noise; and a reliability problem from structural mechanics. Additionally, we prove that the bounds converge to the infimum and supremum of the set of stationary averages for certain SDEs associated with the computation of the Lyapunov exponents, and we provide numerical evidence of convergence in more general settings.

• 出版日期2016