Addressing the curse of dimensionality in stochastic dynamics: a Wiener path integral variational formulation with free boundaries

• Published in: Proceedings of the Royal Society. A, Mathematical, physical, and engineering sciences Mathematical, physical, and engineering sciences, 2020-11, Vol.476 (2243), p.1-18
• Main Authors: Petromichelakis, Ioannis, Kougioumtzoglou, Ioannis A.
• Format: Article
• Language: English
• ISSN: 1364-5021; 1471-2946
• DOI: 10.1098/rspa.2020.0385

A Wiener path integral variational formulation with free boundaries is developed for determining the stochastic response of high-dimensional nonlinear dynamical systems in a computationally efficient manner. Specifically, a Wiener path integral representation of a marginal or lower-dimensional joint response probability density function is derived. Due to this a priori marginalization, the associated computational cost of the technique becomes independent of the degrees of freedom (d.f.) or stochastic dimensions of the system, and thus, the ‘curse of dimensionality’ in stochastic dynamics is circumvented. Two indicative numerical examples are considered for highlighting the capabilities of the technique. The first relates to marine engineering and pertains to a structure exposed to nonlinear flow-induced forces and subjected to non-white stochastic excitation. The second relates to nano-engineering and pertains to a 100-d.f. stochastically excited nonlinear dynamical system modelling the behaviour of large arrays of coupled nano-mechanical oscillators. Comparisons with pertinent Monte Carlo simulation data demonstrate the computational efficiency and accuracy of the developed technique.