Edgeworth expansions for slow-fast systems with finite time scale separation

We derive Edgeworth expansions that describe corrections to the Gaussian limiting behaviour of slow-fast systems. The Edgeworth expansion is achieved using a semi-group formalism for the transfer operator, where a Duhamel-Dyson series is used to asymptotically determine the corrections at any desired order of the time scale parameter ε. The corrections involve integrals over higher-order auto-correlation functions. We develop a diagrammatic representation of the series to control the combinatorial wealth of the asymptotic expansion in ε and provide explicit expressions for the first two orders. At a formal level, the expressions derived are valid in the case when the fast dynamics is stochastic as well as when the fast dynamics is entirely deterministic. We corroborate our analytical results with numerical simulations and show that our method provides an improvement on the classical homogenization limit which is restricted to the limit of infinite time scale separation

Nonlinear interfacial dynamics in stratified multilayer channel flows

AbstractThe dynamics of viscous immiscible pressure-driven multilayer flows in channels are investigated using a combination of modelling, analysis and numerical computations. More specifically, the particular system of three stratified layers with two internal fluid–fluid interfaces is considered in detail in order to identify the nonlinear mechanisms involved due to multiple fluid surface interactions. The approach adopted is analytical/asymptotic and is valid for interfacial waves that are long compared with the channel height or individual undisturbed liquid layer thicknesses. This leads to a coupled system of fully nonlinear partial differential equations of Benney type that contain a small slenderness parameter that cannot be scaled out of the problem. This system is in turn used to develop a consistent coupled system of weakly nonlinear evolution equations, and it is shown that this is possible only if the underlying base-flow and fluid parameters satisfy certain conditions that enable a synchronous Galilean transformation to be performed at leading order. Two distinct canonical cases (all terms in the equations are of the same order) are identified in the absence and presence of inertia, respectively. The resulting systems incorporate all of the active physical mechanisms at Reynolds numbers that are not large, namely, nonlinearities, inertia-induced instabilities (at non-zero Reynolds number) and surface tension stabilization of sufficiently short waves. The coupled system supports several instabilities that are not found in single long-wave equations including, transitional instabilities due to a change of type of the flux nonlinearity from hyperbolic to elliptic, kinematic instabilities due to the presence of complex eigenvalues in the linearized advection matrix leading to a resonance between the interfaces, and the possibility of long-wave instabilities induced by an interaction between the flux function of the system and the surface tension terms. All of these instabilities are followed into the nonlinear regime by carrying out extensive numerical simulations using spectral methods on periodic domains. It is established that instabilities leading to coherent structures in the form of nonlinear travelling waves are possible even at zero Reynolds number, in contrast to single interface (two-layer) systems; in addition, even in parameter regimes where the flow is linearly stable, the coupling of the flux functions and their hyperbolic–elliptic transitions lead to coherent structures for initial disturbances above a threshold value. When inertia is present an additional short-wave instability enters and the systems become general coupled Kuramoto–Sivashinsky-type equations. Extensive numerical experiments indicate a rich landscape of dynamical behaviour including nonlinear travelling waves, time-periodic travelling states and chaotic dynamics. It is also established that it is possible to regularize the chaotic dynamics into travelling wave pulses by enhancing the inertialess instabilities through the advective terms. Such phenomena may be of importance in mixing, mass and heat-transfer applications.</jats:p

Spectral Methods for Multiscale Stochastic Differential Equations

This paper presents a new method for the solution of multiscale stochastic differential equations at the diffusive time scale. In contrast to averaging-based methods, e.g., the heterogeneous multiscale method (HMM) or the equation-free method, which rely on Monte Carlo simulations, in this paper we introduce a new numerical methodology that is based on a spectral method. In particular, we use an expansion in Hermite functions to approximate the solution of an appropriate Poisson equation, which is used in order to calculate the coefficients of the homogenized equation. Spectral convergence is proved under suitable assumptions. Numerical experiments corroborate the theory and illustrate the performance of the method. A comparison with the HMM and an application to singularly perturbed stochastic PDEs are also presented

On the generalised Langevin equation for simulated annealing

In this paper, we consider the generalised (higher order) Langevin equation for the purpose of simulated annealing and optimisation of nonconvex functions. Our approach modifies the underdamped Langevin equation by replacing the Brownian noise with an appropriate Ornstein-Uhlenbeck process to account for memory in the system. Under reasonable conditions on the loss function and the annealing schedule, we establish convergence of the continuous time dynamics to a global minimum. In addition, we investigate the performance numerically and show better performance and higher exploration of the state space compared to the underdamped and overdamped Langevin dynamics with the same annealing schedule

Contact lines over random topographical substrates. Part 2. Dynamics

We examine the dynamics of a two-dimensional droplet spreading over a random topographical substrate. Our analysis is based on the formalism developed in Part 1 of this study, where a random substrate was modelled as band-limited white noise. The system of integrodifferential equations for the motion of the contact points over deterministic substrates derived by Savva and Kalliadasis (Phys. Fluids, vol. 21, 2009, 092102) is applicable to the case of random substrates as well. This system is linearized for small substrate amplitudes to obtain stochastic differential equations for the droplet shift and contact line fluctuations in the limit of shallow and slowly varying topographies. Our theoretical predictions for the time evolution of the statistical properties of these quantities are verified by numerical experiments. Considering the statistics of the dynamics allows us to fully address the influence of the substrate variations on wetting. For example, we demonstrate that the droplet wets the substrate less as the substrate roughness increases, illustrating also the possibility of a substrate-induced hysteresis effect. Finally, the analysis of the long-time limit of spreading dynamics for a substrate represented by a band-limited white noise is extended to arbitrary substrate representations. It is shown that the statistics of spreading is independent of the characteristic length scales that naturally arise from the statistical properties of a substrate representation

Eigenfunction martingale estimators for interacting particle systems and their mean field limit

We study the problem of parameter estimation for large exchangeable interacting particle systems when a sample of discrete observations from a single particle is known. We propose a novel method based on martingale estimating functions constructed by employing the eigenvalues and eigenfunctions of the generator of the mean field limit, where the law of the process is replaced by the (unique) invariant measure of the mean field dynamics. We then prove that our estimator is asymptotically unbiased and asymptotically normal when the number of observations and the number of particles tend to infinity, and we provide a rate of convergence toward the exact value of the parameters. Finally, we present several numerical experiments which show the accuracy of our estimator and corroborate our theoretical findings, even in the case that the mean field dynamics exhibit more than one steady state

Optimal friction matrix for underdamped Langevin sampling

A systematic procedure for optimising the friction coefficient in underdamped Langevin dynamics as a sampling tool is given by taking the gradient of the associated asymptotic variance with respect to friction. We give an expression for this gradient in terms of the solution to an appropriate Poisson equation and show that it can be approximated by short simulations of the associated first variation/tangent process under concavity assumptions on the log density. Our algorithm is applied to the estimation of posterior means in Bayesian inference problems and reduced variance is demonstrated when compared to the original underdamped and overdamped Langevin dynamics in both full and stochastic gradient cases

Paramater estimation for the McKean-Vlasov stochastic differential equation

We consider the problem of parameter estimation for a stochastic McKean-Vlasov equation, and the associated system of weakly interacting particles. We first establish consistency and asymptotic normality of the offline maximum likelihood estimator for the interacting particle system in the limit as the number of particles $N\rightarrow\infty$. We then propose an online estimator for the parameters of the McKean-Vlasov SDE, which evolves according to a continuous-time stochastic gradient descent algorithm on the asymptotic log-likelihood of the interacting particle system. We prove that this estimator converges in $\mathbb{L}^1$ to the stationary points of the asymptotic log-likelihood of the McKean-Vlasov SDE in the joint limit as $N\rightarrow\infty$ and $t\rightarrow\infty$, under suitable assumptions which guarantee ergodicity and uniform-in-time propagation of chaos. We then demonstrate, under the additional assumption of global strong concavity, that our estimator converges in $\mathbb{L}^2$ to the unique maximiser of this asymptotic log-likelihood function, and establish an $\mathbb{L}^2$ convergence rate. We also obtain analogous results under the assumption that, rather than observing multiple trajectories of the interacting particle system, we instead observe multiple independent replicates of the McKean-Vlasov SDE itself or, less realistically, a single sample path of the McKean-Vlasov SDE and its law. Our theoretical results are demonstrated via two numerical examples, a linear mean field model and a stochastic opinion dynamics model

Constructing sampling schemes via coupling: Markov semigroups and optimal transport

In this paper we develop a general framework for constructing and analyzing coupled Markov chain Monte Carlo samplers, allowing for both (possibly degenerate) diffusion and piecewise deterministic Markov processes. For many performance criteria of interest, including the asymptotic variance, the task of finding efficient couplings can be phrased in terms of problems related to optimal transport theory. We investigate general structural properties, proving a singularity theorem that has both geometric and probabilistic interpretations. Moreover, we show that those problems can often be solved approximately and support our findings with numerical experiments. For the particular objective of estimating the variance of a Bayesian posterior, our analysis suggests using novel techniques in the spirit of antithetic variates. Addressing the convergence to equilibrium of coupled processes we furthermore derive a modified Poincaré inequality

Variational principles on geometric rough paths and the Lévy area correction

In this paper, we describe two effects of the Lévy area correction on the invariant measure of stochastic rigid body dynamics on geometric rough paths. From the viewpoint of dynamics, the Lévy area correction introduces an additional deterministic torque into the rigid body motion equation on geometric rough paths. When the rigid body dynamics is driven by colored noise, and damped by double-bracket dissipation, our theoretical and numerical results show that the additional deterministic torque due to the the Lévy area correction shifts the center of the probability distribution function by shifting the Hamiltonian function in the exponent of the Gibbsian invariant measure