在數學 和物理學 中,馬格努斯展開 (英語:Magnus expansion )為線性算子的一階齊次線性微分方程 的解提供了指數表示,得名於數學家威廉·馬格努斯 。特別地,這種方法提供了變係數n階線性常微分方程 組的基矩陣。指數是無窮級數,其項涉及多重積分和嵌套換元。
確定情形
馬格努斯方法及其解釋
給定n × n 係數矩陣A (t ) ,我們希望求解與線性常微分方程相關的初值問題
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{\displaystyle Y'(t)=A(t)Y(t),\quad Y(t_{0})=Y_{0}}
其中Y (t ) 是未知n維向量函數。
n = 1時,解為
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=
exp
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∫
t
0
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{\displaystyle Y(t)=\exp \left(\int _{t_{0}}^{t}A(s)\,ds\right)Y_{0}.}
若A (t ) 對任意一組t , t 1 、t 2 仍滿足A (t 1 ) A (t 2 ) = A (t 2 ) A (t 1 ) ,則此式可推廣到n > 1情形。A 與t 無關時尤為如此。在一般情形下,上述表達式不再是問題的解。
馬格努斯提出的解矩陣初值問題的方法是,用某個n階方陣函數Ω(t , t 0 ) 的指數來表示解:
Y
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=
exp
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Ω
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t
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Y
0
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{\displaystyle Y(t)=\exp {\big (}\Omega (t,t_{0}){\big )}\,Y_{0},}
稍後可將其構造為級數 展開式:
Ω
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t
)
=
∑
k
=
1
∞
Ω
k
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,
{\displaystyle \Omega (t)=\sum _{k=1}^{\infty }\Omega _{k}(t),}
為簡單起見習慣將Ω(t , t 0 ) 寫作Ω(t ) ,並取t 0 = 0.
馬格努斯意識到,由於d / dt (e Ω ) e −Ω = A (t ) ,可利用龐加萊-豪斯多夫矩陣恆等式將Ω 的時間導數和伯努利數及
Ω 的伴隨自同態 聯繫起來
Ω
′
=
ad
Ω
exp
(
ad
Ω
)
−
1
A
,
{\displaystyle \Omega '={\frac {\operatorname {ad} _{\Omega }}{\exp(\operatorname {ad} _{\Omega })-1}}A,}
並以「BCH展開 的連續類似物」遞歸求解Ω ,下詳。
上式構成了矩陣線性初值問題求解的馬格努斯展開式 或馬格努斯級數 。前4項:
Ω
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)
,
{\displaystyle {\begin{aligned}\Omega _{1}(t)&=\int _{0}^{t}A(t_{1})\,dt_{1},\\\Omega _{2}(t)&={\frac {1}{2}}\int _{0}^{t}dt_{1}\int _{0}^{t_{1}}dt_{2}\,[A(t_{1}),A(t_{2})],\\\Omega _{3}(t)&={\frac {1}{6}}\int _{0}^{t}dt_{1}\int _{0}^{t_{1}}dt_{2}\int _{0}^{t_{2}}dt_{3}\,{\Bigl (}{\big [}A(t_{1}),[A(t_{2}),A(t_{3})]{\big ]}+{\big [}A(t_{3}),[A(t_{2}),A(t_{1})]{\big ]}{\Bigr )},\\\Omega _{4}(t)&={\frac {1}{12}}\int _{0}^{t}dt_{1}\int _{0}^{t_{1}}dt_{2}\int _{0}^{t_{2}}dt_{3}\int _{0}^{t_{3}}dt_{4}\,\left({\Big [}{\big [}[A_{1},A_{2}],A_{3}{\big ]},A_{4}{\Big ]}\right.\\&\qquad +{\Big [}A_{1},{\big [}[A_{2},A_{3}],A_{4}{\big ]}{\Big ]}+{\Big [}A_{1},{\big [}A_{2},[A_{3},A_{4}]{\big ]}{\Big ]}+\left.{\Big [}A_{2},{\big [}A_{3},[A_{4},A_{1}]{\big ]}{\Big ]}\right),\end{aligned}}}
其中[A , B ] ≡ A B − B A 是A 、B 的矩陣交換子 。
這些方程可解釋如下:Ω1 (t ) 與純量(n = 1)情形下的指數完全重合,但這方程無法給出整個解。若堅持要用指數表示(李群 ),則要對指數進行修正。馬格努斯級數的剩餘部分系統地提供了修正:Ω 或其部分在解的李群 的李代數 中。
在應用中,很少能對馬格努斯級數精確求和,而要截斷才能得到近似解。馬格努斯方法的主要優勢在於,中截級數通常和精確解具有相同的重要性質,這異於傳統攝動理論 。例如,經典力學 中,時間演化 的辛幾何 特徵在每階近似都得到保留。同樣,量子力學 時間演化算子的么正性 也得到保留(例如,與解決同一問題的戴森級數 相反)。
擴展的收斂性
從數學角度看,收斂問題如下:給定矩陣A (t ) ,何時可得作為馬格努斯級數和的指數Ω(t ) ?
t ∈ [0,T ) 時,級數收斂 的充分條件是
∫
0
T
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‖
2
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<
π
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{\displaystyle \int _{0}^{T}\|A(s)\|_{2}\,ds<\pi ,}
其中
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⋅
‖
2
{\displaystyle \|\cdot \|_{2}}
表示矩陣範數 。這個結果是通用的,因為可構造特定矩陣,t > T 時級數都發散。
馬格努斯生成器
生成馬格努斯展開式中所有項的遞歸過程利用了下面的遞歸定義的矩陣 S n (k ) :
S
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Ω
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{\displaystyle S_{n}^{(j)}=\sum _{m=1}^{n-j}\left[\Omega _{m},S_{n-m}^{(j-1)}\right],\quad 2\leq j\leq n-1,}
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{\displaystyle S_{n}^{(1)}=\left[\Omega _{n-1},A\right],\quad S_{n}^{(n-1)}=\operatorname {ad} _{\Omega _{1}}^{n-1}(A),}
然後得到
Ω
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{\displaystyle \Omega _{1}=\int _{0}^{t}A(\tau )\,d\tau ,}
Ω
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{\displaystyle \Omega _{n}=\sum _{j=1}^{n-1}{\frac {B_{j}}{j!}}\int _{0}^{t}S_{n}^{(j)}(\tau )\,d\tau ,\quad n\geq 2.}
此處adk Ω 是迭代交換子的簡寫(參見伴隨自同態 ):
ad
Ω
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A
=
A
,
ad
Ω
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1
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ad
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,
{\displaystyle \operatorname {ad} _{\Omega }^{0}A=A,\quad \operatorname {ad} _{\Omega }^{k+1}A=[\Omega ,\operatorname {ad} _{\Omega }^{k}A],}
其中B j 是伯努利數 ,而B 1 = −1/2 。
最後,明確算得這一遞歸後,就可將Ωn (t ) 表為涉及n個矩陣A 的n-1個嵌套換元的n重積分的線性組合:
Ω
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{\displaystyle \Omega _{n}(t)=\sum _{j=1}^{n-1}{\frac {B_{j}}{j!}}\sum _{k_{1}+\cdots +k_{j}=n-1 \atop k_{1}\geq 1,\ldots ,k_{j}\geq 1}\int _{0}^{t}\operatorname {ad} _{\Omega _{k_{1}}(\tau )}\operatorname {ad} _{\Omega _{k_{2}}(\tau )}\cdots \operatorname {ad} _{\Omega _{k_{j}}(\tau )}A(\tau )\,d\tau ,\quad n\geq 2,}
隨著n 增加,這個式子會變複雜。
隨機情形
推廣到隨機常微分方程
要推廣到隨機常微分方程,令
(
W
t
)
t
∈
[
0
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{\textstyle \left(W_{t}\right)_{t\in [0,T]}}
為
R
q
{\textstyle \mathbb {R} ^{q}}
維布朗運動 ,
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∈
N
>
0
{\textstyle q\in \mathbb {N} _{>0}}
在概率空間
(
Ω
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F
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P
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{\textstyle \left(\Omega ,{\mathcal {F}},\mathbb {P} \right)}
上,有限時間區間
T
>
0
{\textstyle T>0}
和自然過濾。現在,考慮線性矩陣值隨機伊藤積分方程(索引j 採用愛因斯坦求和約定)
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{\displaystyle dX_{t}=B_{t}X_{t}dt+A_{t}^{(j)}X_{t}dW_{t}^{j},\quad X_{0}=I_{d},\qquad d\in \mathbb {N} _{>0},}
其中
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⋅
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{\textstyle B_{\cdot },A_{\cdot }^{(1)},\dots ,A_{\cdot }^{(j)}}
是逐步可測的
d
×
d
{\textstyle d\times d}
值有界隨機過程 ,
I
d
{\textstyle I_{d}}
是單位矩陣 。參考確定情形,並依隨機情形做修改[ 1] ,相應的矩陣對數將變為伊藤過程,其展開的前兩項為
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{\textstyle Y_{t}^{(1)}=Y_{t}^{(1,0)}+Y_{t}^{(0,1)}}
、
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{\textstyle Y_{t}^{(2)}=Y_{t}^{(2,0)}+Y_{t}^{(1,1)}+Y_{t}^{(0,2)}}
,
其中i 、j 根據愛因斯坦求和約定
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{\displaystyle {\begin{aligned}Y_{t}^{(0,0)}&=0,\\Y_{t}^{(1,0)}&=\int _{0}^{t}A_{s}^{(j)}\,dW_{s}^{j},\\Y_{t}^{(0,1)}&=\int _{0}^{t}B_{s}\,ds,\\Y_{t}^{(2,0)}&=-{\frac {1}{2}}\int _{0}^{t}{\big (}A_{s}^{(j)}{\big )}^{2}\,ds+{\frac {1}{2}}\int _{0}^{t}{\Big [}A_{s}^{(j)},\int _{0}^{s}A_{r}^{(i)}\,dW_{r}^{i}{\Big ]}dW_{s}^{j},\\Y_{t}^{(1,1)}&={\frac {1}{2}}\int _{0}^{t}{\Big [}B_{s},\int _{0}^{s}A_{r}^{(j)}\,dW_{r}{\Big ]}\,ds+{\frac {1}{2}}\int _{0}^{t}{\Big [}A_{s}^{(j)},\int _{0}^{s}B_{r}\,dr{\Big ]}\,dW_{s}^{j},\\Y_{t}^{(0,2)}&={\frac {1}{2}}\int _{0}^{t}{\Big [}B_{s},\int _{0}^{s}B_{r}\,dr{\Big ]}\,ds.\end{aligned}}}
推廣的收斂性
隨機情形下,收斂將受制於停止時間
τ
{\textstyle \tau }
,第一個收斂結果如下:[ 2]
在前面關於係數的假設下,存在強解
X
=
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t
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∈
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,
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{\textstyle X=(X_{t})_{t\in [0,T]}}
及嚴格為正的停止時間
τ
≤
T
{\textstyle \tau \leq T}
,使得:
X
t
{\textstyle X_{t}}
在時間
τ
{\textstyle \tau }
之前有實數對數
Y
t
{\textstyle Y_{t}}
,即
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t
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e
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t
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0
≤
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<
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;
{\displaystyle X_{t}=e^{Y_{t}},\qquad 0\leq t<\tau ;}
以下表示有
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{\textstyle \mathbb {P} }
把握成立:
Y
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=
∑
n
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∞
Y
t
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0
≤
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,
{\displaystyle Y_{t}=\sum _{n=0}^{\infty }Y_{t}^{(n)},\qquad 0\leq t<\tau ,}
其中
Y
(
n
)
{\textstyle Y^{(n)}}
是隨機馬格努斯展開的第n項,定義見下文馬格努斯展開式小節;
存在正常數C ,僅取決於
‖
A
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‖
T
,
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q
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{\textstyle \|A^{(1)}\|_{T},\dots ,\|A^{(q)}\|_{T},\|B\|_{T},T,d}
,其中
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t
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{\textstyle \|A_{\cdot }\|_{T}=\|\|A_{t}\|_{F}\|_{L^{\infty }(\Omega \times [0,T])}}
,於是
P
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τ
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t
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≤
C
t
,
t
∈
[
0
,
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]
.
{\displaystyle \mathbb {P} (\tau \leq t)\leq Ct,\qquad t\in [0,T].}
馬格努斯展開式
隨機馬格努斯展開的推廣形式:
Y
t
=
∑
n
=
0
∞
Y
t
(
n
)
with
Y
t
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n
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:=
∑
r
=
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n
Y
t
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r
,
n
−
r
)
,
{\displaystyle Y_{t}=\sum _{n=0}^{\infty }Y_{t}^{(n)}\quad {\text{with}}\quad Y_{t}^{(n)}:=\sum _{r=0}^{n}Y_{t}^{(r,n-r)},}
其中通用項
Y
(
r
,
n
−
r
)
{\textstyle Y^{(r,n-r)}}
是形式為下式的伊藤過程:
Y
t
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r
,
n
−
r
)
=
∫
0
t
μ
s
r
,
n
−
r
d
s
+
∫
0
t
σ
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r
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n
−
r
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j
d
W
s
j
,
n
∈
N
0
,
r
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0
,
…
,
n
,
{\displaystyle Y_{t}^{(r,n-r)}=\int _{0}^{t}\mu _{s}^{r,n-r}ds+\int _{0}^{t}\sigma _{s}^{r,n-r,j}dW_{s}^{j},\qquad n\in \mathbb {N} _{0},\ r=0,\dots ,n,}
σ
r
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n
−
r
,
j
,
μ
r
,
n
−
r
{\textstyle \sigma ^{r,n-r,j},\mu ^{r,n-r}}
項可遞歸定義為
σ
s
r
,
n
−
r
,
j
:=
∑
i
=
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n
−
1
β
i
i
!
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−
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,
i
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)
,
μ
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:=
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i
i
!
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r
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1
,
i
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−
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2
∑
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∑
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−
2
β
i
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!
∑
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=
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r
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=
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−
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−
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,
i
(
Q
q
1
,
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2
,
j
)
,
{\displaystyle {\begin{aligned}\sigma _{s}^{r,n-r,j}&:=\sum _{i=0}^{n-1}{\frac {\beta _{i}}{i!}}S_{s}^{r-1,n-r,i}{\big (}A^{(j)}{\big )},\\\mu _{s}^{r,n-r}&:=\sum _{i=0}^{n-1}{\frac {\beta _{i}}{i!}}S_{s}^{r,n-r-1,i}(B)-{\frac {1}{2}}\sum _{j=1}^{q}\sum _{i=0}^{n-2}{\frac {\beta _{i}}{i!}}\sum _{q_{1}=2}^{r}\sum _{q_{2}=0}^{n-r}S^{r-q_{1},n-r-q_{2},i}{\big (}Q^{q_{1},q_{2},j}{\big )},\end{aligned}}}
其中
Q
s
q
1
,
q
2
,
j
:=
∑
i
1
=
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1
∑
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=
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q
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∑
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1
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1
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−
1
∑
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i
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∑
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1
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i
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{\displaystyle {\begin{aligned}Q_{s}^{q_{1},q_{2},j}:=\sum _{i_{1}=2}^{q_{1}}\sum _{i_{2}=0}^{q_{2}}\sum _{h_{1}=1}^{i_{1}-1}\sum _{h_{2}=0}^{i_{2}}&\sum _{p_{1}=0}^{q_{1}-i_{1}}\sum _{{p_{2}}=0}^{q_{2}-i_{2}}\ \sum _{m_{1}=0}^{p_{1}+p_{2}}\ \sum _{{m_{2}}=0}^{q_{1}-i_{1}-p_{1}+q_{2}-i_{2}-p_{2}}\\&{\Bigg (}{{\frac {S_{s}^{p_{1},p_{2},m_{1}}{\big (}\sigma _{s}^{h_{1},h_{2},j}{\big )}}{({m_{1}}+1)!}}{\frac {S_{s}^{q_{1}-i_{1}-p_{1},q_{2}-i_{2}-p_{2},m_{2}}{\big (}\sigma _{s}^{i_{1}-h_{1},i_{2}-h_{2},j}{\big )}}{({m_{2}}+1)!}}}\\&\qquad \qquad +{\frac {{\big [}S_{s}^{p_{1},p_{2},m_{1}}{\big (}\sigma _{s}^{i_{1}-h_{1},i_{2}-h_{2},j}{\big )},S_{s}^{q_{1}-i_{1}-p_{1},q_{2}-i_{2}-p_{2},m_{2}}{\big (}\sigma _{s}^{h_{1},h_{2},j}{\big )}{\big ]}}{({m_{1}}+{m_{2}}+2)({m_{1}}+1)!{m_{2}}!}}{\Bigg )},\end{aligned}}}
算子S 定義為
S
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{\displaystyle {\begin{aligned}S_{s}^{r-1,n-r,0}(A)&:={\begin{cases}A&{\text{if }}r=n=1,\\0&{\text{otherwise}},\end{cases}}\\S_{s}^{r-1,n-r,i}(A)&:=\sum _{\begin{array}{c}(j_{1},k_{1}),\dots ,(j_{i},k_{i})\in \mathbb {N} _{0}^{2}\\j_{1}+\cdots +j_{i}=r-1\\k_{1}+\cdots +k_{i}=n-r\end{array}}{\big [}Y_{s}^{(j_{1},k_{1})},{\big [}\dots ,{\big [}Y_{s}^{(j_{i},k_{i})},A_{s}{\big ]}\dots {\big ]}{\big ]}\\&=\sum _{\begin{array}{c}(j_{1},k_{1}),\dots ,(j_{i},k_{i})\in \mathbb {N} _{0}^{2}\\j_{1}+\cdots +j_{i}=r-1\\k_{1}+\cdots k_{i}=n-r\end{array}}\operatorname {ad} _{Y_{s}^{(j_{1},k_{1})}}\circ \cdots \circ \operatorname {ad} _{Y_{s}^{(j_{i},k_{i})}}(A_{s}),\qquad i\in \mathbb {N} .\end{aligned}}}
應用
另見
注釋
參考文獻
Magnus, W. On the exponential solution of differential equations for a linear operator. Comm. Pure Appl. Math. 1954, VII (4): 649–673. doi:10.1002/cpa.3160070404 .
Blanes, S.; Casas, F.; Oteo, J.A.; Ros, J. Magnus and Fer expansions for matrix differential equations: The convergence problem. J. Phys. A: Math. Gen. 1998, 31 (1): 259–268. Bibcode:1998JPhA...31..259B . doi:10.1088/0305-4470/31/1/023 .
Iserles, A.; Nørsett, S. P. On the solution of linear differential equations in Lie groups. Phil. Trans. R. Soc. Lond. A. 1999, 357 (1754): 983–1019. Bibcode:1999RSPTA.357..983I . CiteSeerX 10.1.1.15.4614 . S2CID 90949835 . doi:10.1098/rsta.1999.0362 .
Blanes, S.; Casas, F.; Oteo, J.A.; Ros, J. The Magnus expansion and some of its applications. Phys. Rep. 2009, 470 (5–6): 151–238. Bibcode:2009PhR...470..151B . S2CID 115177329 . arXiv:0810.5488 . doi:10.1016/j.physrep.2008.11.001 .
Kamm, K.; Pagliarani, S.; Pascucci, A. On the Stochastic Magnus Expansion and Its Application to SPDEs. Journal of Scientific Computing. 2021, 89 (3): 56. S2CID 211259118 . arXiv:2001.01098 . doi:10.1007/s10915-021-01633-6 .