Bounding Stationary Averages of Polynomial Diffusions via Semidefinite Programming

Jan 1, 2016·
Juan Kuntz
Juan Kuntz
,
Michela Ottobre
,
Guy-Bart Stan
,
Mauricio Barahona
· 0 min read
Abstract
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 semidefinite 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.
Type
Publication
In SIAM Journal on Scientific Computing