MarwanRihaoui

Summer2005

Reportpresentedto

Dr.CourtlandtL.Bohn

SolutionfortheFokkerPlanckEquationbyFiniteDifferenceMethod

Abstract

FokkerPlanckEquation(FPE)isaverywellknownequationindescribingastochasticprocess.The
equationdescribeadriftanddiffusionphenomenaofadistributionfunction,henceitinvolvefirstandsecondorder
derivatives.InthispaperIwillpresentasolutionfortheFPEfortwomodelsusingFiniteDifferenceMethod.
Thefirstmodelisforanoiseinducedphasetransitionspendulumwitharandomlyvibratingsuspension
axis.ThesecondmodelisforthemotionofaKV(KapchinskyVladinisky)circularbeaminahighbeamlinacs.
Thisreportisdividedintothreesection.ThefirstsectionofthispaperIwillshowtheevolutionoftheFPE
ofthenoisypendulumandseehowthenumericalsolutionwillconvergetothestationaryoneatlongtimesascitedin
[1].InthesecondsectionIwillconstructtheFPEforthemotionofacircularbeaminahalo.Theresultswillbethe
evolutionofthePFEfortwocases:1)thecasewhereawhitenoiseisaddedtotheexternalforceand2)thecase
whereawhitenoiseisaddedtothedrivingfrequencyofthebeam.Thelastsectionofthispaperinvolveabrief
introductiontocolorednoiseanditseffectontheFPE(i.eGlucksternmodel).
 FokkerPlanckEquationforthePendulumModel

Themotionofanoiseinducedphasetransitionspendulumwitharandomlyvibrating
suspensionaxis.Theequationofmotionisgivenby:

x ' ' 2 1 x ' 2 x ' 2 1t sinx=0 (1)

where x isthependulumangulardeviationfromequilibrium, istheangular

frequency, isthecoefficientofnonlinearfriction, isthedampingfactor,and
t istheaccelerationofthesuspensionaxis.

TheFPEthatdescribedtheprobabilitydistributionforthispendulumisgivenin[1]:
2
u A , k 1 3 3 u A ,
= [ A2 A u A ,] A2 M
t A 4 4 48

k 1 2 2 2
k 2 2 2
[ A u A ,] [u A ,]
8 A2 2 2

(2)
where:
k 1 and k 2 aretheintensityofthewhitenoisewithzeromeanvalue,suchthat:
k 1 3 24 2
k 2= 2 (3)
2
4 4
istheextenttowhichthenoiseintensityisinexcessofitscriticalvalue,given:
4
=1 (4)
2
k1
1 (5)
= 2
6
and
2 k 1
M= (6)
2 2 16 2
Thesolutionforequation(2)wasdonebytheFiniteDifferenceMethod(FDM).Using
theCranckNicolsonapproximationuptothesecondorderforthefirstandthesecond
derivative.BeforeapplyingtheFDM,equation(2)needtobesimplifiedtolooklikea
diffusionequation.Aftersomealgebraandrenamingvariables,equation(2)becomes;

2
u A , e A2 u A , 3 u A , 2 u A ,
= m A f A d
t 2 A2 A 2
u A ,
r s A2 3 f A2 u A , (7)

where:
k1 (8)
e=2
4
3 (9)
f =
4
r = M (10)
3 (11)
s=
48
m=e2 (12)

Let h bethegridspacingfortheamplitudeandthephaseaxisand k bethegrid

spacingforthetimeaxis.Thefunction u=u A , , t =ui h , jh , kn goesfrom n
thepresenttimeto n1 time.Atanynodepoint O wehavefourdirections
correspondtoeast E ,west W ,north N ,andsouth S ofit.Thederivative
approximationequationsare[2]:

u u n1
E
u Wn1 u nE uWn (13)
=[ ]1[ ]
A 2h 2h
u u n1
n1
u u Sn
n
u N S N (14)
=[ ]1[ ]
2h 2h
u 2 u On1 u Wn1
n1
2 u E
u nE 2 uOn u Wn
=[ ]1[ ]
A2 h2 h2 (15)

2 u u n1
N
2 u On1u Sn1 u nN 2 uOn u nS
=[ ]1[ ]
2 h2 h2 (16)
andfinally,
n1 n
u u O uO (17)
=
t k

where isaweightingfactorsuchthat: 01 .

plugequations(13)to(17)backinequation(8),weget:
1uOn1 u n1
N
L u n1
S
M 1 u n1
E
N uWn1 =1T u On P u nN Q u nS R u nE S u Wn
(18)
providedthat:
d r s i h2 (19)
=k 2
h 2h
d r s i h2 (20)
L=k 2
h 2h
e i 2 i m f ih2 (21)
M 1=k
2
e i i m f ih2
2
N =k (22)
2
2d (23)
=k e i 2 2

h
d r s i h2 (24)
P=k 1
h2
2h
d r s i h2 (25)
Q=k 1
h 2
2h
e i i m f ih2
2
R=k 1 (26)
2
e i i m f ih2
2
S=k 1 (27)
2
2d (28)
T =k 1e i 2 2
3 f ih2
h
 StationarySolution

Equation(18)wassolvedbythematrixmethodwhere u A , , t isa3dimensional
matrix[120,120,2400].IttookMATLABalmost2minutestorunthecodewithalmost
592MBworthofmemoryusedonaPentiumIntelXeon3.06GHZwith1GBmemory.
forlongtimes,thesolutionindeedconvergestothestationarysolutiongivenin[1]:

2 k 1
2 3
u st = A2 1 exp 2
A2 (29)
[] 3 k1
Thestationarysolutionisindependentofangle andhencetheHamiltonianofthe
systemis:

k 1 2 3 (30)
H A= A2 A4
8 8
Accordingto[3],theLyapunovfunctional I u fortheprobabilitydensity u A , t
thatsatisfiestheboundarycondition( u A =0 )and( u A / A=0 )is:

u A , t (31)
I u=u A , t ln
q A ,t
where:

8 H A
q A , t =exp (32)
k 1 2 A2
Simplifyingequation(31)weget:

(33)
I u=u A , t ln u A , t
2
Figure(1)showstheplotforthefreeenergy F relatedtothestationarydistribution
function,suchthat:

k 1 2 A2 (34)
F= I u
8
Figure1.plotforthefreeenergyofthesystemversusA,clearlywecouldseeasamplitudeofthependulumdecrease
theabsolutevalueoftheenergyisdecreasing.Energyiswastedasheatduetodamping.
 NumericalResults

Figure(2),showsacontourplotfortheevolutionoftheFPEwithtime.Astimeincrease,
theamplitudedecreasesbutneverfalltozerosinceforthestationarysolutiontheaverage
fortheamplitudeis:
2 k 1 1/2 1/2 (35)
A =
3 1

Figure(2),evolutionoftheFPEatdifferenttimes.Astimeincreasestheamplitudedecreasesduetothenonlinear
frictionandthedampingfactor.

Figure(3)istheplotforthenumericalsolutionatseverallongtimescomparedtothe
steadysolution.Inthenumericalsimulation,thetimespacingis0.0009andtheinitial
conditionsforthegridare:

1 u A , 0=1 for A1 ,andzeroelsewhere.

2 u0, =1 for 1 ,andzeroelsewhere.
Figure3,steadysolutionisthecyancolorcurveandthelongtimesolutionisthemagentastarcurve,theplotsarefor
k 1=0.5 , =1 , =0.1 and =1.8 .Thestationarysolutionachievedattimet3=2.025.

Wecouldseethatthenumericalsolutionatlongtimeisapproachingthatofthesteady
statesolution.ThesystemisapproachingtheBoltzmanndistributiongiveninequation
(29).Figure(4)showsahistogramfortheerrorcalculatedatdifferenttimest1,t2,andt3.

Error
0.1000
0.0900
0.0800
0.0700
0.0600
Error

0.0500
ColumnA
0.0400
ColumnB
0.0300
ColumnC
0.0200
0.0100
0.0000
Ro Ro Ro Ro Ro Ro Ro Ro Ro Ro Ro Ro Ro Ro Ro Ro Ro
w1 w2 w3 w4 w5 w6 w7 w8 w9 w w w w w w w w
10 11 12 13 14 15 16 17

Amplitude

Figure(4),errorfortheFPEatdifferenttimeswithrespecttothestationarysolution.Thethreetimesaret1(orange),t2
(purple),andt3(gray)thataregiveninFigure(3),theerrorisgivenby: Error=u numericallyu analytically .At
t3themaximumerrorachievedis6%.
Figure(5)showsaplotfortheamplitudeaverage A giveninequation(37)forthe
threetimes(t1,t2,andt3)andthestationarysolution.Noticethatforlongtime(i.et3)the
amplitudeaverageisthesameasthatofthestationarysolution.

Figure(5),averageAfordifferenttimes,forlongtimes(t3)theamplitudeaveragematchthatofthestationarysolution
whichis0.26.
 FokkerPlanckEquationfortheGlucksternModel

TheGlucksternmodeldescribedaHaloformationinhighbeamlinacs.Halosare
producedattransitionlocations,forexampleadefectinthestructuralgeometryor
discontinuityinfrequency[4].Itwouldbehardtoworkandoperatenearthemachine
whenhalosproducehighcurrent.ThesimplifiedequationofmotionforKV
(KapchinskyVladinisky)circularbeaminthe x directionwithanoise z added
totheexternalforceis:

x ' ' q 22 cos pz x= z x 3 (1)

where:
e I
= (2)
3 4
2 m 0 v a
and
e I
= (3)
3 2
2 m 0 v a
WhereaistheKVcoreradiusandcorewavenumberp,qisthewavenumberof
oscillation,I,e,m,andvarethecurrent,charge,mass,andvelocityoftheparticle. 0 is
thepermitivityoffreespaceand isthefirstorderapproximationfortheoscillation
amplitude.

UsingthephaseamplitudemethodtofindtheLangevanEquations,wehave:

x= Asin q t (4)
Takingthefistderivative

x ' = A cosq z (5)

Since A and areslowlyvariableswehave:

x ' = A ' sin q z A qcos q z A ' cosq z (6)

compareequations(5)and(6),then:
A' sin q z A ' cosq z=0 (8)
Fromequation(5)wecanfind:

x ' ' = A ' q cosq z A q 2 sin q z A q ' sin q z (9)

Plugequations(9)and(4)inequation(1)andsolvefor A' and ' weget:

q A ' = A3 sin 3 q z cosq z A sin 2 q z cos pz

A3 zsin 3 q z cosq z
(10)

q ' = A2 sin 4 q z2 sin 2 q z cos pz A2 zsin 4 q z (11)

Nowaverageoverallrapidoscillationsexceptthe 2 q p terms,then:

A
A' = sin zsin 3 q z cosq z (12)
q

3
' = A2 cos zsin 4 q z (13)
8q 2q

where,

=2 q p z2 (14)
andthebarrepresenttimeaveraging,usingtherecipesuggestedbyPolinaLanda,then:

3 3
zsin q z cosq z= zsin q z cosq z 1 z (15)

and
zsin 4 q z= zsin 4 q z 2 z (16)

where 1 z and 2 z arerandomlywhitenoisewhoseintensitiesare k 1 and

k 2 respectively.Forsimplicityincalculations,let:
 a zsin 3 q z cosq z (17)
and

b zsin 4 q z (18)

TheLangavanEquationsfor A and providedequations(17)and(18)are:

A a A3
A' = sin A3 1 z (19)
q q q
3
' =2 q p A2 cos2 A2 b2 A2 2 z (20)
4q q

TheFokkerPlanckEquationassociatedwithequations(19)and(20)is:

u A , a 3 2 A6
= [A sin A u A ,] 2 [ 2 k 1 u A ,]
t A q q A 2q
3 2 2 2 4
[2 q p A cos2 b A u A ,] [2 k 2 A u A ,]
4q q 2

(21)

Equation(21)canbesimplifiedtoadiffusionequationform,aftersomealgebraand
usingequations(22)and(23),weget:

u A , k 1 A6 2 u A , a 3 k 1 5 u A ,
= A sin A 6 A
t 2 q2 A2 q q q2 A
u A , 3 2 u A ,
p2 q 2 b A2 cosu A , 2 k 2 A 4
4q q 2
k1 2 a
u A ,15 2 A4 sin 3 A2 (22)
q q q

Equation(22)wassolvedbyFiniteDifferenceMethod,Figure(1)isacontourplotfor
thetimeevolutionoftheFPEatdifferentzdistance.
Figure(1),plotforhaloformationamplitudephaseevolutionwithtime.Casewherenoiseisaddedtotheexternal
force,parametersusedincalculationare k 1=0.55 , k 2 =0.14 , =0.55 , =0.08 ,

a=0.5 , b=0.2 , p=2.0 ,and q=1.1 .ktimespacingis0.00094andamplitudeandphaseh

spacingis0.015.Initialconditionsare:u(A,0)=1forA<=1elseu(A,0)=0,u(0,phi)=0everywhere.Themesh
sizeis[100,100,1000],ittooktheprogram4minuteswith176MBmemoryusage.

Figure(1)wasfortheGlucksternmodelwhennoiseisaddedtotheexternalforce,the
casewherethenoiseisaddedtothecosineterminequation(1)wasalsodone.After
introducingthenoiseinthecosineterm,ourequationofmotionbecomes:

x ' ' q 22 cos p z z x= x 3 (23)

Usingthephaseamplitudemethod,
x= A sin t (24)
Usingtherecipedescribedabove,wehave:

q A ' = A3 sin 3 q z cosq z A sin 2 q z cos pz

A sin 2 q zsin p t sin z zcos z zcos p t
(25)
 q ' = A2 sin 4 q z2 sin 2 q zcos p t cos z zsin pt sin q z
(26)
usingthefactthewecanwrite:

cos z z=1C z z (27)

sin z z=D z z (28)

wherea C z and D z aretwofunctionsthatcanbedeterminedfromTaylorseries,

howeverwewillseethatwedon'tmuchcareabouttherevaluessincewearegoingtodo
averaging.

Nowifweaverageoverallrapidoscillationsexceptthe 2 q p term,then:

A A
A'= sin zC zsin 2 q z cos pt
q q
A
z D zsin 2 q zsin pt
q
(29)

3
' = A2 cos2 zC zsin 2 q z cos pt
8q 2q
2 z D zsin 2 q zsin pt (30)

usingthefactthat:

zC zsin 2 q z cos pt = zC zsin 2 q z cos pt a (31)

z D zsin 2 q zsin pt = z D zsin 2 q zsin pt b (32)

zC zsin 2 q z cos pt = zC zsin 2 q z cos pt c (33)

z D zsin 2 q zsin pt = z D zsin 2 q zsin pt d (34)

Let:

a zC zsin 2 q z cos pt (35)

b z D zsin 2q zsin pt (36)
c z D zsin 2 q z cos pt (37)
d z D zsin 2 q zsin pt (38)

then:

A m A A
A' = sin 1 z (39)
q q q
3 4n
' =2 q p A2 cos 4 2 z (40)
4q q q q

where:

m=ba , n=cd , 1=b a , 2 =c d (50)

and isthesameasdescribedinequation(14).

1 z and 2 z arerandomlywhitenoisewhoseintensitiesare k 1 and k 2

respectively.TheFokkerPlanckEquationassociatedwithequations(39)and(40)is:

2 2
u A , A sin A m 2 A
= [ u A ,] 2 k 1 u A ,
t A 2q q A 2 q2
2
3 2 4n 2 8 k 2
[2 q p A cos u A ,] u A ,
4q q q 2 q2
(51)

Figure(2)isacontourplotfortheevolutionoftheFPEdescribedinequation(51).
Figure(2),plotforhaloformationamplitudephaseevolutionwithtime.Casewherenoiseaddedtothecosineterm,
parametersusedincalculationare k 1=0.5 , k 2 =0.22 , =0.5 , =0.08 , a=0.55 ,

b=0.22 , p=2.0 ,and q=1.1 .ktimespacingis0.00092andamplitudeandphasehspacingis

0.024.Initialconditionsare:u(A,0)=1forA<=1elseu(A,0)=0,u(0,phi)=0everywhere.Themeshsizeis
[100,100,1000],programtimeis2minuteswith176MBmemoryusage.

Figure(3)isaparametricplotforthephaseversustheamplitude,plotofphaseversus
time,andplotofamplitudeversustimeforthethreecasesdealingoftheGluckstern
Model:
1casewherenonoiseisconsidered,blackdashedline.
2casewherenoiseisaddedtotheexternalforce,redsolidline.
3casewherenoiseisaddedtothecosineterm,bluesolidline.
Figure3,isaparametricplotforthephaseversustheamplitude,plotofphaseversustime,andplotofamplitude
versustime.Forthecasewherephaseversustimetheblackdashedlineiscoincidewiththeredone.Theparameters
valuesaresameasthosegiveninfigure2.
 ColoredNoise

Considerthecasewherecolorednoiseisaddedtothedrivingfrequency(cosineterm).
Let beacoloredrandomnoiseofanOrnsteinUhlenbeckprocesswithacorrelation
function:

z=0
D zs (52)
zs = exp
tc tc
where t c isthecorrelationtimeofthenoise,thetimescalewherethereisaremarkable
changeinthesignal[5]. canbegeneratedfromawhitenoiseviatheOrnstein
Uhlenbeckprocessequation:

1 1 (53)
= 3 z
z tc tc
3 z randomlywhitenoisewhoseintensitiesis k 3 andisdefinedby:

3 z =0
3 z3 s =2 D zs (54)
Figure4isaplotfortherandomlywhitenoise 3 z anditspowerspectrum:

Figure4,plotofaGaussianwhitenoise,D=5.
Figure5isaplotfortheOrnsteinUhlenbeckcolorednoisegiveninequation(52),the
codeissimilartoonedescribedin[6].

Figure5,plotfortc=0.9(blueline)andtc=90(redline)anditsspectrum,givenD/tc=1inbothcases.

TheFokkerPlanckEquationcorrespondstothecolorednoiseassociatedwithequations
(39),(40),and(53)is:

2 2
u A , , A sin A m 2 A
= [ u A , , ] 2 k 1 u A , ,
t A 2q q A 2 q2
2
3 2 4n 2 8 k2
[2 q p A cos u A , , ] u A , ,
4q q q 2 q2
1 u A , , k 3 u A , ,
2
2 (55)
tc 2 tc 2
Aswecanseefromequation(55),theFPEhasnoclosedformandonlyapproximate
evolutionequationscanbewritten[7].

Figure(6)isaplotfor cosw z z fortwocasesoftherandomnoise z :

firstcaseisawhitenoiseandsecondisacolorednoise.

Figure6,plotforcos(w+E(t))t)wherew=1,bothcasesofthenoisewereconsidered.

 References

[1]PolinaS.Landa,AlexeyA.Zaikin,NoiseInducedPhaseTransitionsinaPendulum
withaRandomlyVibratingSuspensionAxis,PhysicalReviewEVol54number4,1996.
[2]AmesF.William,NumericalMethodsforPartialDifferentialEquations,Academic
Press,1992.
[3]T.DFrank,HtheoremfortheFokkerPlanckEquationswithdriftsdependingon
processmeanvalues,ElsevierPreprint,2000.
[4]GlucksternL.Robert,AnalyticModelforHaloFormationinHighCurrentIon
Linacs,PhysicalReviewLetters,Volume73number9,1994.
[5]IoannisV.SiderisandCourtlandtL.Bohn,Productionofenhancebeamhalosvia
collectivemodesandcolorednoise.PhysicalReviewSpecialTopicsAcceleratorsand
Beams,Volume7104202,2004.
[6]RonaldF.Fox,Fast,accuratealgorithmfornumericalsimulationofexponentially
correlatedcolorednoise,PhysicsReviewA,Volume38number11,1988.
[7]KironeMallickandPhillippeMarcq,OnthestochasticpendulumwithOrnstein
Uhlenbecknoise,InstituteofPhysicalPublishing,J.Phys.A:Math,Gen37,2004.

FurtherReadings
[8]H.Risken,TheFokkerPlanckEquation,Springer,1984.