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arXiv · 2103.01419

Data-driven computation methods for quasi-stationary distribution and sensitivity analysis

Yao Li·Yaping Yuan
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Abstract

This paper studies computational methods for quasi-stationary distributions (QSDs). We first proposed a data-driven solver that solves Fokker-Planck equations for QSDs. Similar as the case of Fokker-Planck equations for invariant probability measures, we set up an optimization problem that minimizes the distance from a low-accuracy reference solution, under the constraint of satisfying the linear relation given by the discretized Fokker-Planck operator. Then we use coupling method to study the sensitivity of a QSD against either the change of boundary condition or the diffusion coefficient. The 1-Wasserstein distance between a QSD and the corresponding invariant probability measure can be quantitatively estimated. Some numerical results about both computation of QSDs and their sensitivity analysis are provided.

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Yao Li, Yaping Yuan. 2021-03-02. Data-driven computation methods for quasi-stationary distribution and sensitivity analysis. https://arxiv.org/abs/2103.01419

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