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PDF Applied Stochastic Differential Equations 1St Edition Simo Sarkka and Arno Solin Ebook Full Chapter
PDF Applied Stochastic Differential Equations 1St Edition Simo Sarkka and Arno Solin Ebook Full Chapter
PDF Applied Stochastic Differential Equations 1St Edition Simo Sarkka and Arno Solin Ebook Full Chapter
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c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
Contents
Preface ix
1 Introduction 1
v
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
vi Contents
Contents vii
13 Epilogue 277
13.1 Overview of the Covered Topics 277
13.2 Choice of SDE Solution Method 278
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
viii Contents
References 281
Symbols and Abbreviations 293
List of Examples 305
List of Algorithms 309
Index 311
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
Preface
This book is an outgrowth of a set of lecture notes that has been extended
with material from the doctoral theses of both authors and with a large
amount of completely new material. The main motivation for the book is
the application of stochastic differential equations (SDEs) in domains such
as target tracking and medical technology and, in particular, their use in
methodologies such as filtering, smoothing, parameter estimation, and ma-
chine learning. We have also included a wide range of examples of appli-
cations of SDEs arising in physics and electrical engineering.
Because we are motivated by applications, much more emphasis is put
on solution methods than on analysis of the theoretical properties of equa-
tions. From the pedagogical point of view, one goal of this book is to pro-
vide an intuitive hands-on understanding of what SDEs are all about, and if
the reader wishes to learn the formal theory later, she can read, for example,
the brilliant books of Øksendal (2003) and Karatzas and Shreve (1991).
Another pedagogical aim is to overcome a slight disadvantage in many
SDE books (e.g., the aforementioned ones), which is that they lean heavily
on measure theory, rigorous probability theory, and the theory of martin-
gales. There is nothing wrong in these theories – they are very powerful
theories and everyone should indeed master them. However, when these
theories are explicitly used in explaining SDEs, they bring a flurry of tech-
nical details that tend to obscure the basic ideas and intuition for the first-
time reader. In this book, without shame, we trade rigor for readability by
treating SDEs completely without measure theory.
The book’s low learning curve only assumes prior knowledge of ordi-
nary differential equations and basic concepts of statistics, together with
understanding of linear algebra, vector calculus, and Bayesian inference.
The book is mainly intended for advanced undergraduate and graduate
students in applied mathematics, signal processing, control engineering,
ix
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
statistics, and computer science. However, the book is suitable also for re-
searchers and practitioners who need a concise introduction to the topic at
a level that enables them to implement or use the methods.
The worked examples and numerical simulation studies in each chapter
illustrate how the theory works in practice and can be implemented for
solving the problems. End-of-chapter exercises include application-driven
derivations and computational assignments. The M ATLAB R source code
for reproducing the example results is available for download through the
book’s web page, promoting hands-on work with the methods.
We have attempted to write the book to be freestanding in the sense
that it can be read without consulting other material on the way. We have
also attempted to give pointers to work that either can be considered as
the original source of an idea or just contains more details on the topic
at hand. However, this book is not a survey, but a textbook, and therefore
we have preferred citations that serve a pedagogical purpose, which might
not always explicitly give credit to all or even the correct inventors of the
technical ideas. Therefore, we need to apologize to any authors who have
not been cited although their work is clearly related to the topics that we
cover. We hope you understand.
The authors would like to thank Aalto University for providing the
chance to write this book. We also would like to thank Robert Piché, Petteri
Piiroinen, Roland Hostettler, Filip Tronarp, Santiago Cortés, Johan Westö,
Joonas Govenius, Ángel García-Fernández, Toni Karvonen, Juha Sarma-
vuori, and Zheng Zhao for providing valuable comments on early versions
of the book.
Simo and Arno
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
Introduction
1
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
2 Introduction
Introduction 3
4
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
where F is a constant. This equation can now be solved, for example, via
separation of variables, which in this case means that we formally multiply
by dt and divide by x to yield
dx
D F dt: (2.9)
x
If we now integrate the left-hand side from x.0/ to x.t / and right-hand side
from 0 to t, we get
log x.t/ log x.0/ D F t; (2.10)
which can be solved for x.t/ to give the final solution:
x.t/ D exp.F t / x.0/: (2.11)
Another way of arriving at the same solution is by integrating
R t both sides
of the original differential equation from 0 to t. Because 0 dx=dt dt D
x.t/ x.0/, we can express the solution x.t / as
Z t
x.t/ D x.0/ C F x. / d: (2.12)
0
We can now substitute the right-hand side of the equation for x. / inside
the integral, which gives
Z t Z
0 0
x.t/ D x.0/ C F x.0/ C F x. / d d
Z t Z t Z
0 0
0 0
D x.0/ C F x.0/ d C F x. / d d
2
Z tZ
0 0 0
It is easy to see that repeating this procedure yields the solution of the form
t2 t3
x.t/ D x.0/ C F x.0/ t C F 2 x.0/ C F 3 x.0/ C
2 6
F 2 t2 F 3 t3
D 1CF t C C C x.0/: (2.15)
2Š 3Š
The series in the parentheses can be recognized to be the Taylor series for
exp.F t/. Thus, provided that the series actually converges (it does), we
again arrive at the solution
d dx.t /
Œexp. F t/ x.t/ D exp. F t / exp. F t / F x.t /; (2.28)
dt dt
which is exactly the left-hand side of Equation (2.26). Thus we can rewrite
the equation as
d
Œexp. F t/ x.t / D exp. F t / L w.t /: (2.29)
dt
Integrating from t0 to t then gives
Z t
exp. F t/ x.t/ exp. F t0 / x.t0 / D exp. F / L w. / d; (2.30)
t0
where ‰.t; t0 / is the transition matrix which is defined via the properties
@‰.; t/
D F . / ‰.; t /;
@
@‰.; t/
D ‰.; t / F .t /;
@t (2.34)
‰.; t / D ‰.; s/ ‰.s; t /;
1
‰.t; / D ‰ .; t /;
‰.t; t/ D I:
The transition matrix ‰.t; t0 / does not have a closed-form expression in
general. Nevertheless, given the transition matrix we can construct the so-
lution to the inhomogeneous equation
dx
D F .t/ x C L.t / w.t /; x.t0 / D given; (2.35)
dt
analogously to the time-invariant case. This time the integrating factor is
‰.t0 ; t/, and the resulting solution is
Z t
x.t/ D ‰.t; t0 / x.t0 / C ‰.t; / L. / w. / d: (2.36)
t0
tion, which is zero for t < 0 and one for t 0. Then the full solution can
be expressed as
Z 1
x.t/ D h.t / w. / d; (2.48)
1
which can be interpreted such that we construct x.t / by feeding the signal
w.t/ through a linear system (filter) with impulse response h.t /.
We can also use the Fourier transform to solve general linear time-
invariant nonhomogeneous equations
dx.t/
D F x.t / C L w.t /: (2.49)
dt
Taking Fourier transforms componentwise gives
.i !/ X.i !/ D F X.i !/ C L W .i !/: (2.50)
Solving for X.i !/ then gives
1
X.i !/ D ..i !/ I F/ L W .i !/: (2.51)
Comparing to Equation (2.31) and recalling x.0/ D 0 now reveals that
actually we have
F 1 ..i !/ I F/ 1 D exp.F t / u.t /; (2.52)
where u.t/ is the Heaviside step function. This identity also provides one
way to compute matrix exponentials.
Example 2.3 (Matrix exponential via Fourier transform). The matrix ex-
ponential considered in Example 2.1 can also be computed as
" 1 #
0 1 .i !/ 0 0 1 1 t
exp t DF 1
D :
0 0 0 .i !/ 0 0 0 1
(2.53)
of the Laplace transform, we can write down the solution to the differential
equation as
Z 1
x.t/ D h.t/ w.t / D h.t / w. / d; (2.62)
1
where
h.t/ D L 1 ŒH.s/ D b 1
exp. a t / sin.b t / u.t / (2.63)
is exactly the impulse response that we already obtained in Equa-
tion (2.47).
Let us now consider the vector differential equation
dx.t/
D F x.t / C L w.t / (2.64)
dt
with a nonzero initial condition x.0/ ¤ 0. Taking the vector-valued
Laplace transform of the equation and using the derivative property leads
to
s X.s/ x.0/ D F X.s/ C L W .s/; (2.65)
where W .s/ D LŒw.t/. Solving for X.s/ gives
1 1
X.s/ D .s I F/ x.0/ C .s I F/ L W .s/; (2.66)
which can be seen to correspond to the solution in Equation (2.31) with
t0 D 0. We can now see that the matrix exponential has the representation
exp.F t/ D L 1 .s I F / 1 (2.67)
for t 0. As with the Fourier transform, this expression is sometimes
useful for computing matrix exponentials, as can be seen by the following
example.
Example 2.5 (Matrix exponential via Laplace transform). Consider again
solving the matrix exponential in Example 2.1. We can now compute
ı
1 1=s 1 s 2
.s I F / D ; (2.68)
0 1=s
which should Rbe the Laplace transform of the matrix exponential.
R1 Recalling
1
that
ı LŒ1 D 0 exp. s t/ dt D 1=s and LŒt D 0 t exp. s t / dt D
1 s 2 , gives
1 t
exp.F t / D : (2.69)
0 1
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
where x O .tM / is the approximation and x.tM / is the true solution. Because
in the Euler method the first discarded term of the Taylor series is of order
t 2 , the error of integrating over 1=t steps is proportional to t . Thus
the Euler method has order D 1.
We can also improve the approximation by using a trapezoidal approxi-
mation
Z t Ct
t
f .x./; / d Œf .x.t /; t / C f .x.t C t /; t C t / ; (2.76)
t 2
t
x.tkC1 / x.tk / C Œf .x.tk /; tk / C f .x.tkC1 /; tkC1 / ; (2.77)
2
which is an implicit rule in the sense that x.tkC1 / appears also on the right-
hand side. To actually use such an implicit rule, we would need to solve
a nonlinear equation at each integration step, which tends to be computa-
tionally too expensive when the dimensionality of x is high. Thus here we
consider explicit rules only, where the next value x.tkC1 / does not appear
on the right-hand side. If we now replace the term x.tkC1 / on the right-
hand side with its Euler approximation, we get the Heun method.
Algorithm 2.7 (Heun method). Start from x O .t0 / D x.t0 / and divide the
integration interval Œt0 ; t into M steps t0 < t1 < t2 < : : : < tM D t such
that t D tkC1 tk . At each step k, approximate the solution as follows:
Q .tkC1 / D x
x O .tk / C f .Ox.tk /; tk / t;
t (2.78)
O .tkC1 / D x
x O .tk / C Œf .Ox.tk /; tk / C f .Qx.tkC1 /; tkC1 / :
2
solution as follows:
100
1
Exact
Euler
Heun
xj
RK4
4
0:5
10
Absolute error, jx
O
x1
8
0
10
0:5
12
10
0 2 4 6 8 10 10 3
10 2
10 1
Time, t t
(a) Simulated solution paths (b) Error plots for the methods
clearly visible. Figure 2.1b demonstrates in more detail the effect of step
size versus error in the simulated path.
We can now use this identity to find an approximate solution to the differ-
ential equation by the following Picard iteration (see, e.g., Tenenbaum and
Pollard, 1985).
Algorithm 2.10 (Picard iteration). Start from the initial guess '0 .t / D x0 .
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
The preceding recursion, which we already used for finding the solution
to linear differential equations in Section 2.2, can be shown to converge to
the unique solution
lim 'n .t / D x.t /; (2.84)
n!1
2.8 Exercises
2.1 Consider the initial value problem
dx.t/
D 1 .2 x.t //; x.0/ D x0 ;
dt
where 1 and 2 are constants.
(a) Derive the solution using the integrating factor method.
(b) Derive the solution using the Laplace transform.
2.2 One way of solving ODEs is to use an ansatz (an educated guess). Show that
x.t/ D c1 sin ! t C c2 cos ! t is the solution to the second-order ODE
xR C ! 2 x D 0; ! > 0: (2.85)
2.3 Solve the differential equation
dy
D y2 1
dt
with initial condition y.0/ D 0 using the method of separation of variables.
2.4 In classical ODE literature, ODE systems are typically characterized by the
nature of their fixed points (roots of the differential equation). Find out what
is meant by this, sketch the behavior of the following ODEs, and classify all
their fixed points:
c Simo Särkkä and Arno Solin 2019. This copy is made available for
personal use only and must not be adapted, sold or re-distributed.
Exercises 21
(a) xP D 1 C 2 cos x.
(b) xP D x y and yP D 1 e x .
(c) xP D x y and yP D x 2 4.
2.5 Study the behavior of the following differential equation
xR C xP .˛ x 2 / x D 0; ˛ 0;
as follows:
(a) Rewrite the problem in terms of a first-order ODE.
(b) Find the fixed points of the ODE.
(c) Characterize the nature of the fixed points.
(d) Sketch the behavior of trajectories in the .x; x/
P plane.
2.6 We wish to find the Laplace domain solution to the equation
d2 y dy
a Cb C c y D u;
dt 2 dt
where y.t/ is an unknown time-varying function and u.t / is a given function.
Solve the equation by following these steps:
(a) Calculate the Laplace transform of the equation.
(b) Solve the Laplace domain equation for Y .s/.
(c) Take the inverse Laplace transform and provide a solution for y.t /.
2.7 We wish to find the matrix exponential exp.F t /, where t 0 with
0 1
0 1 0
F D @0 0 1A :
0 0 0
(a) Solve it using the series expansion definition of the matrix exponential
(note that the matrix is nilpotent).
(b) Solve it using the Laplace transform as in Example 2.5.
2.8 Use a computer algebra system (e.g., M ATLAB R ) to compute the matrix
exponential
0 1
exp t :
2
How can you extract the impulse response (2.47) from the result?
2.9 Consider the initial value problem xP D x, where x.0/ D 1.
(a) Solve the problem analytically. What is the exact value of x.1/?
(b) Implement the Euler method for this ODE. Using a step size of 1, es-
timate x.1/ numerically. Repeat this for step sizes 10 n , where n D
1; 2; 3; 4.
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Other there were that this ill humour fed,
To neyther part that had good will or mind,
The duke of Yorke our cosin most vnkinde,
Who keeping close a title to the crowne,
Lancaster’s house did labour to pull downe.
49.
50.
51.
52.
But vayne desire of soueraynty and rule,
Which otherwise (ambition) hath to name,
So stird the queene, that wilfull as a mule,
Headlong she runnes from smoke into the flame,
Driuing a drift, which after did so frame,
As shee, the king, with all theyr line and race,
Depriued were of honour, life, and place.
53.
54.
55.
57.
58.
59.
60.
61.
62.
63.
64.
65.
G. F.[732]
[The good duke hauing ended his wofull tragedy, after much talke
hadde concerning discention among those that bee magistrates:
“Good Lord,” quod one, “what mischiefe and destruction doth priuy
grudge and malice rayse among all sortes of people both hye and
lowe? but especially among magistrates being the head and guide of
the commonwealth: for what mischief did the discention betwene
these two persons (being both of hye estate) bring after to both
realmes:[733] yea and the vtter ruin of most of them that were
workers[734] of this duke’s death.” “You say troth,” quoth I, “and now
for that, if I may craue your pacience a while, you shall heare what I
haue noted in the duke of Suffolke’s doings, one of the chiefe
procurours of duke Humfreye’s destruction, who[735] by the
prouidence of God came shortly after in such hatred of the people,
that the king himselfe could not saue him from a straunge and
notable death.[736] For being banisht the realme for the terme of fiue
yeares, to appease the continuall rumours and inward grudges, that
not only the commons, but most part of the nobility of England, bare
towardes him for the death of the sayde duke, he sayling[737]
towardes Fraunce, was met with a ship of Deuonshire, and
beheaded forthwith the first day of May, Anno 1450. And the dead
corps throwen vp at Douer, vpon the sandes, which may lament his
death after this maner.”]
How Lord[738] William De la pole, Duke
of Suffolke, was worthely banished,
for abusing his King, and causing the
destruction of the good Duke
Humfrey,[739] Anno 1450.[740]
1.
2.
3.
4.
5.
6.
8.
9.
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11.
12.
13.
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15.
16.
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18.
The lordes and commons both of like assent,
Besought my soueraigne kneeling on their knees,
To record my doinges[762] in the parliament,
As deedes deseruing euerlasting fees:
In which attempt they did no labour leese,
For they set not my prayse so fast in flame,
As hee was ready to reward the same.
19.
20.
21.
22.
23.
24.
25.
26.
W. B.[774]
[Whan this was sayd, euery man reioysed to heare of a wicked
person so righteously punished:[775] for though fortune in many
points bee iniurious to princes, yet in this and such like she is most
righteous: and only deserueth the name of a goddesse, whan she
prouideth meanes to punishe and destroy tyrantes. And when we
had a while considered the driftes of the king and queene to haue
saued this duke: and yet they could not: “It is worth the labour,” sayd
one, “to way the workes and iudgements of God: which seeing they
are knowen most euidently by comparing contraries, I will touch the
story of Iacke Cade in order next following, whome king Henry, with
all his puissaunce, was no more able for a while to destroy (yet was
hee his rebellious enemy), than hee was to preserue the duke of
Suffolke his dearest friend: by which two examples doth appeare
howe notably God disposeth all things, and that no force stretcheth
farther, than it pleaseth him to suffer. For this Cade being an
Irisheman but of meane parentage, of no ability,[776] and lesse
power, accompanied with a fewe naked Kentishemen, caused the
king with his army at all poynts appointed, to leaue the field, and
suffer him to do whatsoeuer hee lusted [for a time, but in the end hee
was slaine at Hothfielde in Sussex, and caried thence to London in a
cart, and there quartered.][777] In whose behalfe, seeing he is one of
fortune’s whelpes, I will trouble you a while to heare the processe of
his enterprise, which hee may declare in maner following.”]
How Iacke Cade naming himselfe
Mortimer,[778] trayterously rebelling
against his King, in Iune, Anno 1450,
[779] was for his treasons and cruell
2.
3.
4.
5.
6.
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9.
10.
11.
12.
Which caused the king, and queene, whom all did hate,
To rayse their campe, and sodainly depart:
And that they might the people’s grudge abate,
To imprison[798] some full sore against their hart:
Lord Saye was one, whome I made after smart,
For after the[799] Staffords and their hoast was slaine,
To Blackeheath fielde I marched backe againe.
13.
14.
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16.
17.
18.