Leveraging Hamiltonian Structure for Accurate Uncertainty Propagation

Abstract

In this work, we leverage the Hamiltonian kind structure for accurate uncertainty propagation through a nonlinear dynamical system. The developed approach utilizes the fact that the stationary probability density function is purely a function of the Hamiltonian of the system. This fact is exploited to define the basis functions to approximate the solution of the Fokker-Planck-Kolmogorov equation. This approach helps in curtailing the growth of basis functions with the state dimension. Furthermore, sparse approximation tools have been utilized to automatically select appropriate basis functions from an over-complete dictionary. A nonlinear oscillator and two-body problem are considered to show the efficacy of the proposed approach. Simulation results show that such an approach is effective in accurately propagating uncertainty through non-conservative as well as conservative systems.