arXiv subjects

Lorenzo Pareschi

Publications and source records attributed to Lorenzo Pareschi.

At least 91 records · Page 5Linked to original sources

arXiv2020

An introduction to uncertainty quantification for kinetic equations and related problems

We overview some recent results in the field of uncertainty quantification for kinetic equations and related problems with random inputs. Uncertainties may be due to various reasons, such as lack of knowledge on the microscopic interaction details or incomplete information at the boundaries or on the initial data. These uncertainties contribute to the curse of dimensionality and the development of efficient numerical methods is a challenge. After a brief introduction on the main numerical techniques for uncertainty quantification in partial differential equations, we focus our survey on some of the recent progress on multi-fidelity methods and stochastic Galerkin methods for kinetic equations.

math.NA↗

arXiv2020

Mathematical models and methods for crowd dynamics control

In this survey we consider mathematical models and methods recently developed to control crowd dynamics, with particular emphasis on egressing pedestrians. We focus on two control strategies: The first one consists in using special agents, called leaders, to steer the crowd towards the desired direction. Leaders can be either hidden in the crowd or recognizable as such. This strategy heavily relies on the power of the social influence (herding effect), namely the natural tendency of people to follow group mates in situations of emergency or doubt. The second one consists in modify the surrounding environment by adding in the walking area multiple obstacles optimally placed and shaped. The aim of the obstacles is to naturally force people to behave as desired. Both control strategies discussed in this paper aim at reducing as much as possible the intervention on the crowd. Ideally the natural behavior of people is kept, and people do not even realize they are being led by an external intelligence. Mathematical models are discussed at different scales of observation, showing how macroscopic (fluid-dynamic) models can be derived by mesoscopic (kinetic) models which, in turn, can be derived by microscopic (agent-based) models.

physics.soc-ph↗

arXiv2020

Mean field models for large data-clustering problems

We consider mean-field models for data--clustering problems starting from a generalization of the bounded confidence model for opinion dynamics. The microscopic model includes information on the position as well as on additional features of the particles in order to develop specific clustering effects. The corresponding mean--field limit is derived and properties of the model are investigated analytically. In particular, the mean--field formulation allows the use of a random subsets algorithm for efficient computations of the clusters. Applications to shape detection and image segmentation on standard test images are presented and discussed.

math.NA↗

arXiv2020

High order semi-implicit multistep methods for time dependent partial differential equations

We consider the construction of semi-implicit linear multistep methods which can be applied to time dependent PDEs where the separation of scales in additive form, typically used in implicit-explicit (IMEX) methods, is not possible. As shown in Boscarino, Filbet and Russo (2016) for Runge-Kutta methods, these semi-implicit techniques give a great flexibility, and allows, in many cases, the construction of simple linearly implicit schemes with no need of iterative solvers. In this work we develop a general setting for the construction of high order semi-implicit linear multistep methods and analyze their stability properties for a prototype linear advection-diffusion equation and in the setting of strong stability preserving (SSP) methods. Our findings are demonstrated on several examples, including nonlinear reaction-diffusion and convection-diffusion problems.

math.NA↗

arXiv2020

Implicit-Explicit multistep methods for hyperbolic systems with multiscale relaxation

We consider the development of high order space and time numerical methods based on Implicit-Explicit (IMEX) multistep time integrators for hyperbolic systems with relaxation. More specifically, we consider hyperbolic balance laws in which the convection and the source term may have very different time and space scales. As a consequence the nature of the asymptotic limit changes completely, passing from a hyperbolic to a parabolic system. From the computational point of view, standard numerical methods designed for the fluid-dynamic scaling of hyperbolic systems with relaxation present several drawbacks and typically lose efficiency in describing the parabolic limit regime. In this work, in the context of Implicit-Explicit linear multistep methods we construct high order space-time discretizations which are able to handle all the different scales and to capture the correct asymptotic behavior, independently from its nature, without time step restrictions imposed by the fast scales. Several numerical examples confirm the theoretical analysis.

math.NA↗

arXiv2019

Multi-scale control variate methods for uncertainty quantification in kinetic equations

Kinetic equations play a major rule in modeling large systems of interacting particles. Uncertainties may be due to various reasons, like lack of knowledge on the microscopic interaction details or incomplete informations at the boundaries. These uncertainties, however, contribute to the curse of dimensionality and the development of efficient numerical methods is a challenge. In this paper we consider the construction of novel multi-scale methods for such problems which, thanks to a control variate approach, are capable to reduce the variance of standard Monte Carlo techniques.

math.NA↗

arXiv2019

Portfolio Optimization and Model Predictive Control: A Kinetic Approach

In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The investment decision of investors, derived through an optimization, drives the stock price. The model has been inspired by the econophysical Levy-Levy-Solomon model (Economics Letters, 45). The goal of this work is to gain insights into the stock price and wealth distribution. We especially want to discover the causes for the appearance of power-laws in financial data. We follow a kinetic approach similar to (D. Maldarella, L. Pareschi, Physica A, 391) and derive the mean field limit of our microscopic agent dynamics. The novelty in our approach is that the financial agents apply model predictive control (MPC) to approximate and solve the optimization of their utility function. Interestingly, the MPC approach gives a mathematical connection between the two opponent economic concepts of modeling financial agents to be rational or boundedly rational. Furthermore, this is to our knowledge the first kinetic portfolio model which considers a wealth and stock price distribution simultaneously. Due to our kinetic approach, we can study the wealth and price distribution on a mesoscopic level. The wealth distribution is characterized by a lognormal law. For the stock price distribution, we can either observe a lognormal behavior in the case of long-term investors or a power-law in the case of high-frequency trader. Furthermore, the stock return data exhibits a fat-tail, which is a well known characteristic of real financial data.

q-fin.PM↗

arXiv2019

Hydrodynamic models of preference formation in multi-agent societies

In this paper, we discuss the passage to hydrodynamic equations for kinetic models of opinion formation. The considered kinetic models feature an opinion density depending on an additional microscopic variable, identified with the personal preference. This variable describes an opinion-driven polarisation process, leading finally to a choice among some possible options, as it happens e.g. in referendums or elections. Like in the kinetic theory of rarefied gases, the derivation of hydrodynamic equations is essentially based on the computation of the local equilibrium distribution of the opinions from the underlying kinetic model. Several numerical examples validate the resulting model, shedding light on the crucial role played by the distinction between opinion and preference formation on the choice processes in multi-agent societies.

physics.soc-ph↗

arXiv2018

Multi-scale variance reduction methods based on multiple control variates for kinetic equations with uncertainties

The development of efficient numerical methods for kinetic equations with stochastic parameters is a challenge due to the high dimensionality of the problem. Recently we introduced a multiscale control variate strategy which is capable to accelerate considerably the slow convergence of standard Monte Carlo methods for uncertainty quantification. Here we generalize this class of methods to the case of multiple control variates. We show that the additional degrees of freedom can be used to improve further the variance reduction properties of multiscale control variate methods.

math.NA↗

arXiv2018

Structure preserving schemes for the continuum Kuramoto model: phase transitions

The construction of numerical schemes for the Kuramoto model is challenging due to the structural properties of the system which are essential in order to capture the correct physical behavior, like the description of stationary states and phase transitions. Additional difficulties are represented by the high dimensionality of the problem in presence of multiple frequencies. In this paper, we develop numerical methods which are capable to preserve these structural properties of the Kuramoto equation in the presence of diffusion and to solve efficiently the multiple frequencies case. The novel schemes are then used to numerically investigate the phase transitions in the case of identical and non identical oscillators.

math.NA↗

arXiv2018

Kinetic models for optimal control of wealth inequalities

We introduce and discuss optimal control strategies for kinetic models for wealth distribution in a simple market economy, acting to minimize the variance of the wealth density among the population. Our analysis is based on a finite time horizon approximation, or model predictive control, of the corresponding control problem for the microscopic agents' dynamic and results in an alternative theoretical approach to the taxation and redistribution policy at a global level. It is shown that in general the control is able to modify the Pareto index of the stationary solution of the corresponding Boltzmann kinetic equation, and that this modification can be exactly quantified. Connections between previous Fokker-Planck based models and taxation-redistribution policies and the present approach are also discussed.

physics.soc-ph↗

arXiv2018

Linear multistep methods for optimal control problems and applications to hyperbolic relaxation systems

We are interested in high-order linear multistep schemes for time discretization of adjoint equations arising within optimal control problems. First we consider optimal control problems for ordinary differential equations and show loss of accuracy for Adams-Moulton and Adams-Bashford methods, whereas BDF methods preserve high--order accuracy. Subsequently we extend these results to semi--lagrangian discretizations of hyperbolic relaxation systems. Computational results illustrate theoretical findings.

math.NA↗

arXiv2017

Boltzmann games in heterogeneous consensus dynamics

We consider a constrained hierarchical opinion dynamics in the case of leaders' competition and with complete information among leaders. Each leaders' group tries to drive the followers' opinion towards a desired state accordingly to a specific strategy. By using the Boltzmann-type control approach we analyze the best-reply strategy for each leaders' population. Derivation of the corresponding Fokker-Planck model permits to investigate the asymptotic behaviour of the solution. Heterogeneous followers populations are then considered where the effect of knowledge impacts the leaders' credibility and modifies the outcome of the leaders' competition.

math.OC↗

arXiv2017

Structure preserving schemes for nonlinear Fokker-Planck equations and applications

In this paper we focus on the construction of numerical schemes for nonlinear Fokker-Planck equations that preserve the structural properties, like non negativity of the solution, entropy dissipation and large time behavior. The methods here developed are second order accurate, they do not require any restriction on the mesh size and are capable to capture the asymptotic steady states with arbitrary accuracy. These properties are essential for a correct description of the underlying physical problem. Applications of the schemes to several nonlinear Fokker-Planck equations with nonlocal terms describing emerging collective behavior in socio-economic and life sciences are presented.

math.NA↗

arXiv2017

A High Order Stochastic Asymptotic Preserving Scheme for Chemotaxis Kinetic Models with Random Inputs

In this paper, we develop a stochastic Asymptotic-Preserving (sAP) scheme for the kinetic chemotaxis system with random inputs, which will converge to the modified Keller-Segel model with random inputs in the diffusive regime. Based on the generalized Polynomial Chaos (gPC) approach, we design a high order stochastic Galerkin method using implicit-explicit (IMEX) Runge-Kutta (RK) time discretization with a macroscopic penalty term. The new schemes improve the parabolic CFL condition to a hyperbolic type when the mean free path is small, which shows significant efficiency especially in uncertainty quantification (UQ) with multi-scale problems. The stochastic Asymptotic-Preserving property will be shown asymptotically and verified numerically in several tests. Many other numerical tests are conducted to explore the effect of the randomness in the kinetic system, in the aim of providing more intuitions for the theoretic study of the chemotaxis models.

math.NA↗

arXiv2017

Uncertainty quantification for kinetic models in socio-economic and life sciences

Kinetic equations play a major rule in modeling large systems of interacting particles. Recently the legacy of classical kinetic theory found novel applications in socio-economic and life sciences, where processes characterized by large groups of agents exhibit spontaneous emergence of social structures. Well-known examples are the formation of clusters in opinion dynamics, the appearance of inequalities in wealth distributions, flocking and milling behaviors in swarming models, synchronization phenomena in biological systems and lane formation in pedestrian traffic. The construction of kinetic models describing the above processes, however, has to face the difficulty of the lack of fundamental principles since physical forces are replaced by empirical social forces. These empirical forces are typically constructed with the aim to reproduce qualitatively the observed system behaviors, like the emergence of social structures, and are at best known in terms of statistical information of the modeling parameters. For this reason the presence of random inputs characterizing the parameters uncertainty should be considered as an essential feature in the modeling process. In this survey we introduce several examples of such kinetic models, that are mathematically described by nonlinear Vlasov and Fokker--Planck equations, and present different numerical approaches for uncertainty quantification which preserve the main features of the kinetic solution.

math.NA↗

arXiv2017

Structure preserving schemes for mean-field equations of collective behavior

In this paper we consider the development of numerical schemes for mean-field equations describing the collective behavior of a large group of interacting agents. The schemes are based on a generalization of the classical Chang-Cooper approach and are capable to preserve the main structural properties of the systems, namely nonnegativity of the solution, physical conservation laws, entropy dissipation and stationary solutions. In particular, the methods here derived are second order accurate in transient regimes whereas they can reach arbitrary accuracy asymptotically for large times. Several examples are reported to show the generality of the approach.

math.NA↗

arXiv2017

Efficient Stochastic Asymptotic-Preserving IMEX Methods for Transport Equations with Diffusive Scalings and Random Inputs

For linear transport and radiative heat transfer equations with random inputs, we develop new generalized polynomial chaos based Asymptotic-Preserving stochastic Galerkin schemes that allow efficient computation for the problems that contain both uncertainties and multiple scales. Compared with previous methods for these problems, our new method use the implicit-explicit (IMEX) time discretization to gain higher order accuracy, and by using a modified diffusion operator based penalty method, a more relaxed stability condition--a hyperbolic, rather than parabolic, CFL stability condition, is achieved in the case of small mean free path in the diffusive regime. The stochastic Asymptotic-Preserving property of these methods will be shown asymptotically, and demonstrated numerically, along with computational cost comparison with previous methods.

math.NA↗