Approximate stationary density of the nonlinear dynamical systems excited with white noise

IEEE International Symposium on Circuits and Systems 2005, ISCAS 2005; Kobe; Japan; 23 May 2005 through 26 May 2005In this paper, obtaining approximate solution of Fokker-Planck-Kolmogorov (FPK) Equation using compactly supported functions has been discussed. With specific choice of such functions as piecewise multivariable polynomials which are supported on ellipsoidal regions, the parameters to be determined can be considerably decreased compared to Multi- Gaussian Closure scheme [1]. An example commonly considered in the literature has been analyzed and the proposed method has been compared with the Multi-Gaussian Closure scheme. The simulation results indicate that the new scheme is quite successful even if the driving noise is not white Gaussian, but has an exponential correlation function with small correlation time

The Steady-State Response of a Class of Dynamical Systems to Stochastic Excitation

In this paper a class of coupled nonlinear dynamical systems subjected to stochastic excitation is considered. It is shown how the exact steady-state probability density function for this class of systems can be constructed. The result is then applied to some classical oscillator problems

A moment-equation-copula-closure method for nonlinear vibrational systems subjected to correlated noise

We develop a moment equation closure minimization method for the inexpensive approximation of the steady state statistical structure of nonlinear systems whose potential functions have bimodal shapes and which are subjected to correlated excitations. Our approach relies on the derivation of moment equations that describe the dynamics governing the two-time statistics. These are combined with a non-Gaussian pdf representation for the joint response-excitation statistics that has i) single time statistical structure consistent with the analytical solutions of the Fokker-Planck equation, and ii) two-time statistical structure with Gaussian characteristics. Through the adopted pdf representation, we derive a closure scheme which we formulate in terms of a consistency condition involving the second order statistics of the response, the closure constraint. A similar condition, the dynamics constraint, is also derived directly through the moment equations. These two constraints are formulated as a low-dimensional minimization problem with respect to unknown parameters of the representation, the minimization of which imposes an interplay between the dynamics and the adopted closure. The new method allows for the semi-analytical representation of the two-time, non-Gaussian structure of the solution as well as the joint statistical structure of the response-excitation over different time instants. We demonstrate its effectiveness through the application on bistable nonlinear single-degree-of-freedom energy harvesters with mechanical and electromagnetic damping, and we show that the results compare favorably with direct Monte-Carlo Simulations

Probabilistic description of extreme events in intermittently unstable systems excited by correlated stochastic processes

In this work, we consider systems that are subjected to intermittent instabilities due to external stochastic excitation. These intermittent instabilities, though rare, have a large impact on the probabilistic response of the system and give rise to heavy-tailed probability distributions. By making appropriate assumptions on the form of these instabilities, which are valid for a broad range of systems, we formulate a method for the analytical approximation of the probability distribution function (pdf) of the system response (both the main probability mass and the heavy-tail structure). In particular, this method relies on conditioning the probability density of the response on the occurrence of an instability and the separate analysis of the two states of the system, the unstable and stable state. In the stable regime we employ steady state assumptions, which lead to the derivation of the conditional response pdf using standard methods for random dynamical systems. The unstable regime is inherently transient and in order to analyze this regime we characterize the statistics under the assumption of an exponential growth phase and a subsequent decay phase until the system is brought back to the stable attractor. The method we present allows us to capture the statistics associated with the dynamics that give rise to heavy-tails in the system response and the analytical approximations compare favorably with direct Monte Carlo simulations, which we illustrate for two prototype intermittent systems: an intermittently unstable mechanical oscillator excited by correlated multiplicative noise and a complex mode in a turbulent signal with fixed frequency, where multiplicative stochastic damping and additive noise model interactions between various modes.Comment: 29 pages, 15 figure

Dark solitons and vortices in PT-symmetric nonlinear media: from spontaneous symmetry breaking to nonlinear PT phase transitions

We consider nonlinear analogues of Parity-Time (PT) symmetric linear systems exhibiting defocusing nonlinearities. We study the ground state and excited states (dark solitons and vortices) of the system and report the following remarkable features. For relatively weak values of the parameter $\varepsilon$ controlling the strength of the PT-symmetric potential, excited states undergo (analytically tractable) spontaneous symmetry breaking; as $\varepsilon$ is further increased, the ground state and first excited state, as well as branches of higher multi-soliton (multi-vortex) states, collide in pairs and disappear in blue-sky bifurcations, in a way which is strongly reminiscent of the linear PT-phase transition ---thus termed the nonlinear PT-phase transition. Past this critical point, initialization of, e.g., the former ground state leads to spontaneously emerging solitons and vortices.Comment: 8 pages, 8 figure

Statistics of non-linear stochastic dynamical systems under L\'evy noises by a convolution quadrature approach

This paper describes a novel numerical approach to find the statistics of the non-stationary response of scalar non-linear systems excited by L\'evy white noises. The proposed numerical procedure relies on the introduction of an integral transform of Wiener-Hopf type into the equation governing the characteristic function. Once this equation is rewritten as partial integro-differential equation, it is then solved by applying the method of convolution quadrature originally proposed by Lubich, here extended to deal with this particular integral transform. The proposed approach is relevant for two reasons: 1) Statistics of systems with several different drift terms can be handled in an efficient way, independently from the kind of white noise; 2) The particular form of Wiener-Hopf integral transform and its numerical evaluation, both introduced in this study, are generalizations of fractional integro-differential operators of potential type and Gr\"unwald-Letnikov fractional derivatives, respectively.Comment: 20 pages, 5 figure

Changes in the dynamical behavior of nonlinear systems induced by noise.

Weak noise acting upon a nonlinear dynamical system can have far-reaching consequences. The fundamental underlying problem - that of large deviations of a nonlinear system away from a stable or metastable state, sometimes resulting in a transition to a new stationary state, in response to weak additive or multiplicative noise - has long attracted the attention of physicists. This is partly because of its wide applicability, and partly because it bears on the origins of temporal irreversibility in physical processes. During the last few years it has become apparent that, in a system far from thermal equilibrium, even small noise can also result in qualitative change in the system's properties, e.g., the transformation of an unstable equilibrium state into a stable one, and vice versa, the occurrence of multistability and multimodality, the appearance of a mean field, the excitation of noise-induced oscillations, and noise-induced transport (stochastic ratchets). A representative selection of such phenomena is discussed and analyzed, and recent progress made towards their understanding is reviewed