利用Padé近似,得到线性随机泊松系统的一类随机泊松积分子。证明数值格式的均方收敛阶,及其对泊松结构和Casimir函数的保持。数值实验验证了数值格式的均方收敛阶及保结构特性。
We propose a class of stochastic Poisson integrators based on Padé approximations for linear stochastic Poisson systems. The root mean-square convergence orders of the schemes are analyzed, and the structure preserving properties are investigated. Numerical tests are performed to verify the theoretical results and illustrate the numerical behavior of the proposed methods.
[1] Hong J L, Ruan J L, Sun L Y, et al. Structure-preserving numerical methods for stochastic Poisson systems[J]. Communications in Computational Physics, 2021,29(3):802-830.
[2] Milstein G N, Repin Y M, Tretyakov M V. Symplectic integration of Hamiltonian systems with additive noise[J]. SIAM Journal on Numerical Analysis, 2002,39(6):2066-2088.
[3] Milstein G N, Repin Y M, Tretyakov M V. Numerical methods for stochastic systems preserving symplectic structure[J]. SIAM Journal on Numerical Analysis, 2002, 40(4):1583-1604.
[4] Ruan J L, Wang L J. A Lie algebraic approach for a class of highly oscillatory stochastic Hamiltonian systems[J]. Journal of University of Chinese Academy of Sciences, 2019,36(1):5-10.
[5] Feng K, Qin M Z. Symplectic geometric algorithms for Hamiltonian systems[M]. Berlin:Springer Science & Business Media, 2010.
[6] Hairer E, Lubich C, Wanner G. Geometric numerical integration[M]. Berlin:Springer Science & Business Media, 2006.
[7] Zhu W J, Qin M Z. Poisson schemes for Hamiltonian systems on Poisson manifolds[J]. Computers & Mathematics with Applications, 1994, 27(12):7-16.
[8] Cohen D, Dujardin G. Energy-preserving integrators for stochastic Poisson systems[J]. Communications in Mathematical Sciences, 2014, 12(8):1523-1539.
[9] Hong J L, Ji L H, Wang X. Stochastic K-symplectic integrators for stochastic non-canonical Hamiltonian systems and applications to the Lotka-Volterra model[EB/OL]. arXiv:1711.03258v1[math.NA] (2017-11-09)[2019-07-02]. https://arxiv.org/abs/1711.03258.
[10] Feng K, Wu H M, Qin M Z. Symplectic difference schemes for linear Hamiltonian canonical systems[J]. Journal of Computational Mathematics, 1990, 8(4):371-380.
[11] Sun L Y, Wang L J. Stochastic symplectic methods based on the Padé approximations for linear stochastic Hamiltonian systems[J]. Journal of Computational and Applied Mathematics, 2017, 311:439-456.
[12] Aboanber A E, Nahla A A. On Padé approximations to the exponential function and application to the point kinetics equations[J]. Progress in Nuclear Energy, 2004, 44(4):347-368.
[13] Milstein G N. Numerical integration of stochastic differential equations[M]. Berlin:Springer Science & Business Media, 1995.