Professional Documents
Culture Documents
10
X
i=1
h103 i = 0.999990701675415,
10
X
i=1
h104 i = 1.000053524971008.
10
X
i=1
h103 i = 0.999990701675415,
10
X
i=1
h104 i = 1.000053524971008.
= 14.357357,
1
1 1
+ + + + 1 = 14.392651.
6
10
3 2
p
24
53
64
f (x, y)
1.172603 . . .
1.1726039400531 . . .
1.172603940053178 . . .
p
24
53
64
f (x, y)
1.172603 . . .
1.1726039400531 . . .
1.172603940053178 . . .
p
24
53
64
f (x, y)
178702833214061281280
178702833214061281280
178702833214061281280
p
24
53
64
f (x, y)
1.172603 . . .
1.1726039400531 . . .
1.172603940053178 . . .
p
24
53
64
f (x, y)
178702833214061281280
178702833214061281280
178702833214061281280
N
X
1
,
=
k
k=1
N
X
1
,
=
k
k=1
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
1.000000000000000
2.000000000000000
2.500000000000000
2.666666666666667
2.708333333333333
2.716666666666666
2.718055555555555
2.718253968253968
2.718278769841270
2.718281525573192
2.718281801146385
2.718281826198493
2.718281828286169
2.718281828803753
2.718281829585647
2.718281830084572
2.718281830583527
2.718281827117590 S
S_18
S_19
S_20
S_21
S_22
S_23
S_24
S_25
S_26
S_27
S_28
S_29
S_30
S_31
S_32
S_33
S_34
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
=
2.718281826004540
2.718281835125155
2.718281834649448
2.718281833812708
2.718281831899620
2.718281833059102
2.718281831770353
2.718281832252007
2.718281831712599
2.718281832386097
2.718281831659211
2.718281830853743
2.718281831563322
2.718281832917973
2.718281832452312
2.718281831986650
inf
S
S
S
S
S
S
S
S
S
S
Question
How do we compute with intervals? And why, really?
Arithmetic over IR
Definition
If is one of the operators +, , , , and if A, B IR, then
A B = {a b : a A, b B},
except that A B is undefined if 0 B.
Arithmetic over IR
Definition
If is one of the operators +, , , , and if A, B IR, then
A B = {a b : a A, b B},
except that A B is undefined if 0 B.
Simple arithmetic
A + B = [A + B, A + B]
A B = [A B, A B]
A B = A [1/B, 1/B],
if 0
/ B.
Arithmetic over IR
Definition
If is one of the operators +, , , , and if A, B IR, then
A B = {a b : a A, b B},
except that A B is undefined if 0 B.
Simple arithmetic
A + B = [A + B, A + B]
A B = [A B, A B]
A B = A [1/B, 1/B],
if 0
/ B.
Interval-valued functions
Range enclosure
Extend a real-valued function f to an interval-valued F :
R(f ; X) = {f (x) : x X} F (X)
Interval-valued functions
Range enclosure
Extend a real-valued function f to an interval-valued F :
R(f ; X) = {f (x) : x X} F (X)
F (X)
f (x)
Interval-valued functions
Range enclosure
Extend a real-valued function f to an interval-valued F :
R(f ; X) = {f (x) : x X} F (X)
F (X)
f (x)
y
/ F (X) implies that f (x) 6= y for all x X.
Interval-valued functions
Some explicit formulas are given below:
Interval-valued functions
Some explicit formulas are given below:
eX
X
log X
arctan X
=
=
=
=
[eX , eX]
[ X, X]
[log X, log X]
[arctan X, arctan X] .
if 0 X
if 0 < X
Interval-valued functions
Some explicit formulas are given below:
eX
X
log X
arctan X
=
=
=
=
[eX , eX]
[ X, X]
[log X, log X]
[arctan X, arctan X] .
if 0 X
if 0 < X
[1, 1]
:
:
:
:
if
if
if
if
X S
X S
X S
X S
6
=
6=
=
=
and
and
and
and
X S+
X S+
X S+
X S+
6= ,
= ,
6= ,
= .
Graph Enclosures
Example
Draw an accurate graph of the function f (x) = cos3 x + sin x over
the domain [5, 5].
Graph Enclosures
Example
Draw an accurate graph of the function f (x) = cos3 x + sin x over
the domain [5, 5].
Define F (X) = cos3 X + sin X, and adaptively bisect the domain
X0 = [5, 5] into smaller pieces X0 = N
we arrive at
i=1 Xi until
some desired accuracy, e.g. maxi width F (Xi ) TOL.
Graph Enclosures
Example
Draw an accurate graph of the function f (x) = cos3 x + sin x over
the domain [5, 5].
Define F (X) = cos3 X + sin X, and adaptively bisect the domain
X0 = [5, 5] into smaller pieces X0 = N
we arrive at
i=1 Xi until
some desired accuracy, e.g. maxi width F (Xi ) TOL.
3
1.5
4
3
2
0.5
1
0
2
1.5
0.5
1
0.5
1
0
0.5
1.5
1
2
5
f(x)
4
1.5
2
Nice property
If F is well-defined on the domain, the algorithm produces an
enclosure of all zeros of f . [No existence is established, however.]
Newtons method in IR
Theorem
Let f C 1 (R, R), and set x
= mid(X). We define
def
Nf (X) = Nf (X, x
) = x
f (
x)/F (X).
If Nf (X) is well-defined, then the following statements hold:
Newtons method in IR
Theorem
Let f C 1 (R, R), and set x
= mid(X). We define
def
Nf (X) = Nf (X, x
) = x
f (
x)/F (X).
If Nf (X) is well-defined, then the following statements hold:
(1) if X contains a zero x of f , then so does Nf (X) X;
Newtons method in IR
Theorem
Let f C 1 (R, R), and set x
= mid(X). We define
def
Nf (X) = Nf (X, x
) = x
f (
x)/F (X).
If Nf (X) is well-defined, then the following statements hold:
(1) if X contains a zero x of f , then so does Nf (X) X;
(2) if Nf (X) X = , then X contains no zeros of f ;
Newtons method in IR
Theorem
Let f C 1 (R, R), and set x
= mid(X). We define
def
Nf (X) = Nf (X, x
) = x
f (
x)/F (X).
If Nf (X) is well-defined, then the following statements hold:
(1) if X contains a zero x of f , then so does Nf (X) X;
(2) if Nf (X) X = , then X contains no zeros of f ;
Newtons method in IR
Theorem
Let f C 1 (R, R), and set x
= mid(X). We define
def
Nf (X) = Nf (X, x
) = x
f (
x)/F (X).
If Nf (X) is well-defined, then the following statements hold:
(1) if X contains a zero x of f , then so does Nf (X) X;
(2) if Nf (X) X = , then X contains no zeros of f ;
Newtons method in IR
Algorithm
Starting from an initial search region X0 , we form the sequence
Xi+1 = Nf (Xi ) Xi
i = 0, 1, . . . .
Newtons method in IR
Algorithm
Starting from an initial search region X0 , we form the sequence
Xi+1 = Nf (Xi ) Xi
i = 0, 1, . . . .
Nf (Xi )
Xi+1
x
i
Xi
Newtons method in IR
Algorithm
Starting from an initial search region X0 , we form the sequence
Xi+1 = Nf (Xi ) Xi
i = 0, 1, . . . .
Nf (Xi )
Xi+1
x
i
Xi
Performance
If well-defined, this method is never worse than bisection, and it
converges quadratically fast under mild conditions.
Newtons method in IR
Example
Let f (x) = 2.001 + 3x x3 , and X0 = [3, 3/2]. Then
F (X0 ) = [24, 15/4], so Nf (X0 ) is well-defined, and the above
theorem holds.
Newtons method in IR
Example
Let f (x) = 2.001 + 3x x3 , and X0 = [3, 3/2]. Then
F (X0 ) = [24, 15/4], so Nf (X0 ) is well-defined, and the above
theorem holds.
X(0) =
X(1) =
X(2) =
X(3) =
X(4) =
X(5) =
X(6) =
X(7) =
Finite
Unique
[-3.000000000000000,-1.500000000000000];
[-2.140015625000001,-1.546099999999996];
[-2.140015625000001,-1.961277398284108];
[-2.006849239640351,-1.995570580247208];
[-2.000120104486270,-2.000103608530276];
[-2.000111102890393,-2.000111102873815];
[-2.000111102881727,-2.000111102881724];
[-2.000111102881727,-2.000111102881724];
convergence!
root in -2.00011110288172 +- 1.555e-15
rad
rad
rad
rad
rad
rad
rad
rad
=
=
=
=
=
=
=
=
7.50000e-01
2.96958e-01
8.93691e-02
5.63933e-03
8.24798e-06
8.28893e-12
1.55431e-15
1.55431e-15
Newtons method in IR
Example
Let f (x) = 2.001 + 3x x3 , and X0 = [3, 3/2]. Then
F (X0 ) = [24, 15/4], so Nf (X0 ) is well-defined, and the above
theorem holds.
X(0) =
X(1) =
X(2) =
X(3) =
X(4) =
X(5) =
X(6) =
X(7) =
Finite
Unique
[-3.000000000000000,-1.500000000000000];
[-2.140015625000001,-1.546099999999996];
[-2.140015625000001,-1.961277398284108];
[-2.006849239640351,-1.995570580247208];
[-2.000120104486270,-2.000103608530276];
[-2.000111102890393,-2.000111102873815];
[-2.000111102881727,-2.000111102881724];
[-2.000111102881727,-2.000111102881724];
convergence!
root in -2.00011110288172 +- 1.555e-15
Question:
What do we do when X0 contains several zeros?
rad
rad
rad
rad
rad
rad
rad
rad
=
=
=
=
=
=
=
=
7.50000e-01
2.96958e-01
8.93691e-02
5.63933e-03
8.24798e-06
8.28893e-12
1.55431e-15
1.55431e-15
: [0, 3]
: 1e-10
: 71
the interval
the interval
the interval
the interval
the interval
the interval
0.761549782880[8890,9006]
1.664529193[6825445,7060436]
2.131177121086[2673,3558]
2.4481018026567[773,801]
2.68838906601606[36,68]
2.8819786295709[728,1555]
: [0, 3]
: 1e-10
: 71
the interval
the interval
the interval
the interval
the interval
the interval
0.761549782880[8890,9006]
1.664529193[6825445,7060436]
2.131177121086[2673,3558]
2.4481018026567[773,801]
2.68838906601606[36,68]
2.8819786295709[728,1555]
Applications
Counting short periodic orbits for ODEs [Z. Galias]
Measuring the stable regions of the quadratic map [D. Wilczak]
Implicit curves
Example
Draw the level-set defined by
f (x, y) = sin (cos x2 + 10 sin y 2 ) y cos x = 0;
restricted to the domain [5, 5] [5, 5].
Implicit curves
Example
Draw the level-set defined by
f (x, y) = sin (cos x2 + 10 sin y 2 ) y cos x = 0;
restricted to the domain [5, 5] [5, 5].
MATLAB produces the following picture:
5
5
5
Implicit curves
Example
Draw the level-set defined by
f (x, y) = sin (cos x2 + 10 sin y 2 ) y cos x = 0;
restricted to the domain [5, 5] [5, 5].
MATLAB produces the following picture:
5
Implicit curves
The (increasingly tight) set-valued enclosures in both cases are
Implicit curves
The (increasingly tight) set-valued enclosures in both cases are
Set inversion
Given a search space X, we can produce both inner and outer
enclosures of f 1 (Y): given a discretisation X = N
i=1 Xi , we have
{Xi : F (Xi ) Y} f 1 (Y) X {Xi : F (Xi ) Y 6= }.
Set inversion
Given a search space X, we can produce both inner and outer
enclosures of f 1 (Y): given a discretisation X = N
i=1 Xi , we have
{Xi : F (Xi ) Y} f 1 (Y) X {Xi : F (Xi ) Y 6= }.
Example
Let f : R2 R be given by f (x1 , x2 ) = x41 x21 + 4x22 , and
compute the inverse image of Y = [0.05, 0.05] over the domain
X = [5, 5] [5, 5]. Let us write S = f 1 (Y) X.
Set inversion
Given a search space X, we can produce both inner and outer
enclosures of f 1 (Y): given a discretisation X = N
i=1 Xi , we have
{Xi : F (Xi ) Y} f 1 (Y) X {Xi : F (Xi ) Y 6= }.
Example
Let f : R2 R be given by f (x1 , x2 ) = x41 x21 + 4x22 , and
compute the inverse image of Y = [0.05, 0.05] over the domain
X = [5, 5] [5, 5]. Let us write S = f 1 (Y) X.
0.25
0.25
0.25
0.2
0.2
0.2
0.15
0.15
0.15
0.1
0.1
0.1
0.05
0.05
0.05
0.05
0.05
0.05
0.1
0.1
0.1
0.15
0.15
0.15
0.2
0.2
0.25
0.25
0.8
0.6
0.4
0.2
0.2
0.4
0.6
0.8
0.2
0.25
0.8
0.6
0.4
0.2
0.2
0.4
0.6
0.8
0.8
0.6
0.4
0.2
0.2
0.4
Figure: The (a) inner, (b) outer, and (c) boundary enclosures of S.
0.6
0.8
Parameter reconstruction
Question
Given a model function y = f (x; p) together with (noisy) samples
{(xi , yi + i )}N
i=0 , is it possible to find a best parameter p ?
Parameter reconstruction
Question
Given a model function y = f (x; p) together with (noisy) samples
{(xi , yi + i )}N
i=0 , is it possible to find a best parameter p ?
View the data set as being interval-valued: {(xi , Yi )}N
i=0 .
Parameter reconstruction
Question
Given a model function y = f (x; p) together with (noisy) samples
{(xi , yi + i )}N
i=0 , is it possible to find a best parameter p ?
View the data set as being interval-valued: {(xi , Yi )}N
i=0 .
8
Population: 10
Data points: 20
Noise type: normal
Noise level: 50%
10
15
20
25
30
35
40
Parameter reconstruction
Strategy
Adaptively bisect the parameter space into sub-boxes: P = M
j=1 Qj
and examine each Qj separately.
Parameter reconstruction
Strategy
Adaptively bisect the parameter space into sub-boxes: P = M
j=1 Qj
and examine each Qj separately.
We will associate each sub-box Qj of the parameter space to one
of three categories:
Parameter reconstruction
Strategy
Adaptively bisect the parameter space into sub-boxes: P = M
j=1 Qj
and examine each Qj separately.
We will associate each sub-box Qj of the parameter space to one
of three categories:
(1) consistent
if F (xi ; Qj ) Yi for all i = 0, . . . , N .
SAVE
Parameter reconstruction
Strategy
Adaptively bisect the parameter space into sub-boxes: P = M
j=1 Qj
and examine each Qj separately.
We will associate each sub-box Qj of the parameter space to one
of three categories:
(1) consistent
if F (xi ; Qj ) Yi for all i = 0, . . . , N .
SAVE
(2) inconsistent
if F (xi ; Qj ) Yi = for at least one i.
DELETE
Parameter reconstruction
Strategy
Adaptively bisect the parameter space into sub-boxes: P = M
j=1 Qj
and examine each Qj separately.
We will associate each sub-box Qj of the parameter space to one
of three categories:
(1) consistent
if F (xi ; Qj ) Yi for all i = 0, . . . , N .
SAVE
(2) inconsistent
if F (xi ; Qj ) Yi = for at least one i.
DELETE
(3) undetermined
not (1), but F (xi ; Qj ) Yi 6= for all i = 0, . . . , N .
SPLIT
Parameter reconstruction
Example
Consider the model function
f (x; p1 , p2 ) = 5ep1 x 4 106 ep2 x
with samples taken at x = 0, 5 . . . , 40 using p = (0.11, 0.32).
With a relative noise level of 90%, we get the following set of
consistent parameters:
Parameter reconstruction
Example
Consider the model function
f (x; p1 , p2 ) = 5ep1 x 4 106 ep2 x
with samples taken at x = 0, 5 . . . , 40 using p = (0.11, 0.32).
With a relative noise level of 90%, we get the following set of
consistent parameters:
Parameter reconstruction
Varying the relative noise levels between 10, 20 . . . , 90%, we get
the following indeterminate sets.
Introduction to AD
When do we use derivatives?
Introduction to AD
When do we use derivatives?
(1:st order) Newtons method, monotonicity, implicit function
theorem, stability.
Introduction to AD
When do we use derivatives?
(1:st order) Newtons method, monotonicity, implicit function
theorem, stability.
(2:nd order) Optimization: convexity.
Introduction to AD
When do we use derivatives?
(1:st order) Newtons method, monotonicity, implicit function
theorem, stability.
(2:nd order) Optimization: convexity.
(n:th order) High-order approximations, quadrature,
differential equations.
Introduction to AD
When do we use derivatives?
(1:st order) Newtons method, monotonicity, implicit function
theorem, stability.
(2:nd order) Optimization: convexity.
(n:th order) High-order approximations, quadrature,
differential equations.
Example (A simple calculus task)
What is the value of f (n) (x0 ), where
f (x) = esin e
cos x+2x5
Introduction to AD
When do we use derivatives?
(1:st order) Newtons method, monotonicity, implicit function
theorem, stability.
(2:nd order) Optimization: convexity.
(n:th order) High-order approximations, quadrature,
differential equations.
Example (A simple calculus task)
What is the value of f (n) (x0 ), where
f (x) = esin e
cos x+2x5
Introduction to AD
When do we use derivatives?
(1:st order) Newtons method, monotonicity, implicit function
theorem, stability.
(2:nd order) Optimization: convexity.
(n:th order) High-order approximations, quadrature,
differential equations.
Example (A simple calculus task)
What is the value of f (n) (x0 ), where
f (x) = esin e
cos x+2x5
Introduction to AD
How do we compute derivatives in practice?
Introduction to AD
How do we compute derivatives in practice?
(Symbolic representation) Generates exact formulas for
f, f , . . . , f (n) , . . . . This is very memory/time consuming.
Produces enormous formulas. Actually too much information.
Introduction to AD
How do we compute derivatives in practice?
(Symbolic representation) Generates exact formulas for
f, f , . . . , f (n) , . . . . This is very memory/time consuming.
Produces enormous formulas. Actually too much information.
(Finite differences) Generates numerical approximations of the
(x0 )
, based on
value of a derivative, e.g. f (x0 ) f (x0 +h)f
h
f (x0 + h) = f (x0 ) + hf (x0 ) + h2 f (x0 ) + O(h3 ).
Various errors: roundoff, cancellation, discretization. Which h
is optimal? How does the error behave? Cant really handle
high-order derivatives.
Introduction to AD
How do we compute derivatives in practice?
(Symbolic representation) Generates exact formulas for
f, f , . . . , f (n) , . . . . This is very memory/time consuming.
Produces enormous formulas. Actually too much information.
(Finite differences) Generates numerical approximations of the
(x0 )
, based on
value of a derivative, e.g. f (x0 ) f (x0 +h)f
h
f (x0 + h) = f (x0 ) + hf (x0 ) + h2 f (x0 ) + O(h3 ).
Various errors: roundoff, cancellation, discretization. Which h
is optimal? How does the error behave? Cant really handle
high-order derivatives.
(Complex differentiation) A nice trick using complex
extensions: f (x0 ) (f (xh0 +ih)) , where (x + iy) = y.
Avoids cancellation, and gives quadratic approximation, but
requires a complex extension of the function.
Introduction to AD
Automatic differentiation
Generates evaluations (and not formulas) of the derivatives. Based
on a strategy similar to symbolic differentiation, but does not use
placeholders for constants or variables. All intermediate expressions
are evaluated as soon as possible; this saves memory, and removes
the need for later simplification.
Introduction to AD
Automatic differentiation
Generates evaluations (and not formulas) of the derivatives. Based
on a strategy similar to symbolic differentiation, but does not use
placeholders for constants or variables. All intermediate expressions
are evaluated as soon as possible; this saves memory, and removes
the need for later simplification.
Bonus properties
Introduction to AD
Automatic differentiation
Generates evaluations (and not formulas) of the derivatives. Based
on a strategy similar to symbolic differentiation, but does not use
placeholders for constants or variables. All intermediate expressions
are evaluated as soon as possible; this saves memory, and removes
the need for later simplification.
Bonus properties
No discretization errors.
Introduction to AD
Automatic differentiation
Generates evaluations (and not formulas) of the derivatives. Based
on a strategy similar to symbolic differentiation, but does not use
placeholders for constants or variables. All intermediate expressions
are evaluated as soon as possible; this saves memory, and removes
the need for later simplification.
Bonus properties
No discretization errors.
No huge memory consumption.
Introduction to AD
Automatic differentiation
Generates evaluations (and not formulas) of the derivatives. Based
on a strategy similar to symbolic differentiation, but does not use
placeholders for constants or variables. All intermediate expressions
are evaluated as soon as possible; this saves memory, and removes
the need for later simplification.
Bonus properties
No discretization errors.
No huge memory consumption.
No complex tricks.
Introduction to AD
Automatic differentiation
Generates evaluations (and not formulas) of the derivatives. Based
on a strategy similar to symbolic differentiation, but does not use
placeholders for constants or variables. All intermediate expressions
are evaluated as soon as possible; this saves memory, and removes
the need for later simplification.
Bonus properties
No discretization errors.
No huge memory consumption.
No complex tricks.
Very easy to understand.
k
X
(f g)k =
1
g0
fi gki
i=0
k1
X
(f g)i gki
fk
i=0
X
k=0
fk (x x0 )k /
X
k=0
gk (x x0 )k =
X
(f g)k (x x0 )k .
k=0
X
k=0
fk (x x0 )k /
X
k=0
gk (x x0 )k =
X
(f g)k (x x0 )k .
k=0
X
k=0
X
X
k
gk (x x0 )k ,
(f g)k (x x0 )
fk (x x0 ) =
k
k=0
k=0
X
k=0
fk (x x0 )k /
X
k=0
gk (x x0 )k =
X
(f g)k (x x0 )k .
k=0
X
k=0
X
X
k
gk (x x0 )k ,
(f g)k (x x0 )
fk (x x0 ) =
k
k=0
k=0
i=0
X
k=0
fk (x x0 )k /
X
k=0
gk (x x0 )k =
X
(f g)k (x x0 )k .
k=0
X
k=0
X
X
k
gk (x x0 )k ,
(f g)k (x x0 )
fk (x x0 ) =
k
k=0
k=0
i=0
c + 0 (x x0 ) + 0 (x x0 )2 + + 0 (x x0 )k + . . . .
c + 0 (x x0 ) + 0 (x x0 )2 + + 0 (x x0 )k + . . . .
c + 0 (x x0 ) + 0 (x x0 )2 + + 0 (x x0 )k + . . . .
X
k=0
gk (x x0 )
and
g(x)
X
k=0
(eg )k (x x0 )k ,
(1)
X
k=0
gk (x x0 )
and
g(x)
X
k=0
(eg )k (x x0 )k ,
g
i=1 igi (e )ki
(1)
if k = 0,
if k > 0.
(ln g)k =
(ga )k =
(sin g)k =
k1
1X
i(ln g)i gki
gk
k
1
g0
1
g0
1
k
(cos g)k =
i=1
k
X
i=1
k
X
(a + 1)i
1 gi (ga )ki
k
i=1
k
X
1
k
i=1
(ln g)k =
(ga )k =
(sin g)k =
k1
1X
i(ln g)i gki
gk
k
1
g0
1
g0
1
k
(cos g)k =
i=1
k
X
i=1
k
X
(a + 1)i
1 gi (ga )ki
k
i=1
k
X
1
k
i=1
Note that this function hides the AD from the user: all
input/output is scalar.
0.5
1.5
2.5
Quadrature
Task:
Compute (approximate/enclose) the definite integral
I=
f (x)dx.
a
Quadrature
Task:
Compute (approximate/enclose) the definite integral
I=
f (x)dx.
a
Quadrature
Task:
Compute (approximate/enclose) the definite integral
I=
f (x)dx.
a
Quadrature
Task:
Compute (approximate/enclose) the definite integral
I=
f (x)dx.
a
i=1
Quadrature
Example
Enclose the definite integral
R2
x
2 sin (cos (e ))dx.
Quadrature
Example
Enclose the definite integral
N
100
102
104
106
R2
x
2 sin (cos (e ))dx.
2
I2
(f, N )
[3.36588, 3.36588]
[1.26250, 1.41323]
[1.33791, 1.33942]
[1.33866, 1.33868]
2
w(I2
(f, N ))
6.73177 100
1.50729 101
1.50756 103
1.50758 105
0.8
0.6
0.4
0.2
0
0.2
0.4
0.6
0.8
2
1.5
0.5
0.5
1.5
Quadrature
Taylor series approach:
Generate tighter bounds on the integrand via AD.
Quadrature
Taylor series approach:
Generate tighter bounds on the integrand via AD.
For all x X, we have
f (x) =
n1
X
k=0
n
X
k=0
fk (
x)(x x
)k + fn (x )(x x
)n
fk (
x)(x x
)k + [n , n ]|x x
|n ,
where n = mag Fn (X) fn (
x) .
Quadrature
Taylor series approach:
Generate tighter bounds on the integrand via AD.
For all x X, we have
f (x) =
n1
X
k=0
n
X
k=0
fk (
x)(x x
)k + fn (x )(x x
)n
fk (
x)(x x
)k + [n , n ]|x x
|n ,
where n = mag Fn (X) fn (
x) .
We are now prepared to compute the integral itself:
!
Z x+r X
Z x+r
n
k
n
fk (
x)(x x
) + [n , n ]|x x
| dx
f (x)dx
x
r
x
r
n
X
k=0
k=0
fk (
x)
x dx + [n , n ]
r
|x|n dx.
Quadrature
Continuing the calculation, we see a lot of cancellation:
Z r
Z r
Z x+r
n
X
|x|n dx
xk dx + [n , n ]
f (x)dx
fk (
x)
x
r
n/2
f2k (
x)
k=0
= 2
k=0
k=0
f2k (
x)
n/2
x2k dx + [n , n ]
r 2k+1
2k + 1
+ [n , n ]
|x|n dx
r n+1
n+1
Quadrature
Continuing the calculation, we see a lot of cancellation:
Z r
Z r
Z x+r
n
X
|x|n dx
xk dx + [n , n ]
f (x)dx
fk (
x)
x
r
n/2
f2k (
x)
k=0
k=0
= 2
k=0
f2k (
x)
n/2
x2k dx + [n , n ]
r 2k+1
2k + 1
+ [n , n ]
|x|n dx
r n+1
n+1
i=1
N
X
i=1
xi1
i=1
n/2
X
k=0
f2k (
xi )
x
i ri
ri2k+1
2k + 1
+ [n,i , n,i ]
rin+1
n+1
Quadrature
Uniform partition:
N
9
12
21
75
2
E2
(f, 6, N )
[0.86325178469, 1.81128961988]
[1.28416304745, 1.39316025451]
[1.33783795371, 1.33950680633]
[1.33866863493, 1.33866878008]
2
w(E2
(f, 6, N ))
9.4804 101
1.0900 101
1.6689 103
1.4514 107
Quadrature
Uniform partition:
N
9
12
21
75
2
E2
(f, 6, N )
[0.86325178469, 1.81128961988]
[1.28416304745, 1.39316025451]
[1.33783795371, 1.33950680633]
[1.33866863493, 1.33866878008]
2
w(E2
(f, 6, N ))
9.4804 101
1.0900 101
1.6689 103
1.4514 107
Adaptive partition:
TOL
101
102
104
108
NTOL
9
12
21
75
Quadrature
Example (A bonus problem)
R8
Compute the integral 0 sin x + ex dx.
Quadrature
Example (A bonus problem)
R8
Compute the integral 0 sin x + ex dx.
A regular MATLAB session:
Quadrature
Example (A bonus problem)
R8
Compute the integral 0 sin x + ex dx.
A regular MATLAB session:
0 8 4 1e-4
8542
0.52 seconds
0.347[3863144222905,4140198005782]
Quadrature
Example (A bonus problem)
R8
Compute the integral 0 sin x + ex dx.
A regular MATLAB session:
0 8 4 1e-4
8542
0.52 seconds
0.347[3863144222905,4140198005782]
$$ ./adQuad
Partitions:
CPU time :
Integral :
0 8 20 1e-10
874
0.45 seconds
0.3474001726[492276,652638]
Limit cycles
Hilberts 16th problem
Determine the number and location of all limit cycles for planar
polynomial ordinary differential equations. H(n) =?
Limit cycles
Hilberts 16th problem
Determine the number and location of all limit cycles for planar
polynomial ordinary differential equations. H(n) =?
This is (probably) a hard problem: not solved even for the
quadratic case. In 1991, Ilyashenko proved that any such system
can have only a finite number of limit cycles.
Limit cycles
Hilberts 16th problem
Determine the number and location of all limit cycles for planar
polynomial ordinary differential equations. H(n) =?
This is (probably) a hard problem: not solved even for the
quadratic case. In 1991, Ilyashenko proved that any such system
can have only a finite number of limit cycles.
Hilberts 16th problem, the weak formulation
Determine the number of limit cycles that can bifurcate from a
perturbation of a planar Hamiltonian system. Z(n + 1, m) =?
Limit cycles
Hilberts 16th problem
Determine the number and location of all limit cycles for planar
polynomial ordinary differential equations. H(n) =?
This is (probably) a hard problem: not solved even for the
quadratic case. In 1991, Ilyashenko proved that any such system
can have only a finite number of limit cycles.
Hilberts 16th problem, the weak formulation
Determine the number of limit cycles that can bifurcate from a
perturbation of a planar Hamiltonian system. Z(n + 1, m) =?
Solved for the quadratic case (2006: Chen, Li, Llibre, Zhang).
Limit cycles
Challenge
Find a suitable Hamiltonian system and perturbation generating
the maximum number of limit cycles.
Limit cycles
Challenge
Find a suitable Hamiltonian system and perturbation generating
the maximum number of limit cycles.
One method to prove the existence of limit cycles bifurcating from
a continuous family of level curves of a Hamiltonian, h H 1 (h),
depending continuously on h, is to study Abelian integrals.
Given a Hamiltonian system and a perturbation,
x = Hy (x, y) + f (x, y)
y = Hx (x, y) + g(x, y),
the Abelian integral, in general multi-valued, is defined as
Z
f (x, y) dy g(x, y) dx.
I(h) =
h
Limit cycles
Challenge
Find a suitable Hamiltonian system and perturbation generating
the maximum number of limit cycles.
One method to prove the existence of limit cycles bifurcating from
a continuous family of level curves of a Hamiltonian, h H 1 (h),
depending continuously on h, is to study Abelian integrals.
Given a Hamiltonian system and a perturbation,
x = Hy (x, y) + f (x, y)
y = Hx (x, y) + g(x, y),
the Abelian integral, in general multi-valued, is defined as
Z
f (x, y) dy g(x, y) dx.
I(h) =
h
Limit cycles
Main theoretical tool
Simple zeros of I(h) correspond to limit cycles bifurcating from
the Hamiltonian system (PoincarePontryagin theorem).
Limit cycles
Main theoretical tool
Simple zeros of I(h) correspond to limit cycles bifurcating from
the Hamiltonian system (PoincarePontryagin theorem).
One hard part is to find suitable Hamiltonians H and perturbations
f, g. Another is to evaluate the Abelian integrals. This is done by
a combination of level set enclosures, and validated quadrature.
Limit cycles
Main theoretical tool
Simple zeros of I(h) correspond to limit cycles bifurcating from
the Hamiltonian system (PoincarePontryagin theorem).
One hard part is to find suitable Hamiltonians H and perturbations
f, g. Another is to evaluate the Abelian integrals. This is done by
a combination of level set enclosures, and validated quadrature.
Let Z(n) := Z(n + 1, n) H(n), Some known results are
Z(2) = 2, Z(3) 12, Z(4) 15, Z(5) 24, Z(6) 35,
Z(7) 49, Z(9) 80, and Z(11) 121.
Limit cycles
Main theoretical tool
Simple zeros of I(h) correspond to limit cycles bifurcating from
the Hamiltonian system (PoincarePontryagin theorem).
One hard part is to find suitable Hamiltonians H and perturbations
f, g. Another is to evaluate the Abelian integrals. This is done by
a combination of level set enclosures, and validated quadrature.
Let Z(n) := Z(n + 1, n) H(n), Some known results are
Z(2) = 2, Z(3) 12, Z(4) 15, Z(5) 24, Z(6) 35,
Z(7) 49, Z(9) 80, and Z(11) 121.
Theorem
Z(5) 27 and Z(7) 53 (Johnson, Tucker, 2009).
H(4) 26 (Johnson, 2010)
Classical numerics
Set-valued numerics
Classical numerics
Set-valued numerics
Classical numerics
Set-valued numerics
Classical numerics
Set-valued numerics
Classical numerics
Set-valued numerics
Classical numerics
Set-valued numerics
Classical numerics
Set-valued numerics
Classical numerics
Set-valued numerics
Further study...
Interval Computations Web Page
http://www.cs.utep.edu/interval-comp
Further study...
Interval Computations Web Page
http://www.cs.utep.edu/interval-comp
Further study...
Interval Computations Web Page
http://www.cs.utep.edu/interval-comp
Further study...
Interval Computations Web Page
http://www.cs.utep.edu/interval-comp