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Wikipedia / Magnus expansion

In mathematics and physics, the Magnus expansion, named after Wilhelm Magnus (1907–1990), provides an exponential representation of the product integral solution of a first-order homogeneous linear differential equation for a linear operator. In particular, it furnishes the fundamental matrix of a system of linear ordinary differential equations of order with varying coefficients. The exponent is aggregated as an infinite series, whose terms involve multiple integrals and nested commutators.

The deterministic case

Magnus approach and its interpretation

Given the coefficient matrix , one wishes to solve the initial-value problem associated with the linear ordinary differential equation

for the unknown -dimensional vector function .

When n=1, the solution is given as a product integral

This is still valid for n>1 if the matrix satisfies for any pair of values of t, t1 and t2. In particular, this is the case if the matrix is independent of . In the general case, however, the expression above is no longer the solution of the problem.

The approach introduced by Magnus to solve the matrix initial-value problem is to express the solution by means of the exponential of a certain matrix function :

which is subsequently constructed as a series expansion:

where, for simplicity, it is customary to write for and to take t0=0.

Magnus appreciated that, since , using a Poincaré−Hausdorff matrix identity, he could relate the time derivative of to the generating function of Bernoulli numbers and the adjoint endomorphism of ,

to solve for recursively in terms of "in a continuous analog of the BCH expansion", as outlined in a subsequent section.

The equation above constitutes the Magnus expansion, or Magnus series, for the solution of matrix linear initial-value problem. The first four terms of this series read

where is the matrix commutator of A and B.

These equations may be interpreted as follows: coincides exactly with the exponent in the scalar (=1) case, but this equation cannot give the whole solution. If one insists in having an exponential representation (Lie group), the exponent needs to be corrected. The rest of the Magnus series provides that correction systematically: or parts of it are in the Lie algebra of the Lie group on the solution.

In applications, one can rarely sum exactly the Magnus series, and one has to truncate it to get approximate solutions. The main advantage of the Magnus proposal is that the truncated series very often shares important qualitative properties with the exact solution, similarly to other conventional perturbation theories. For instance, in classical mechanics the symplectic character of the time evolution is preserved at every order of approximation. Similarly, the unitary character of the time evolution operator in quantum mechanics is also preserved (in contrast, e.g., to the Dyson series solving the same problem).

Convergence of the expansion

From a mathematical point of view, the convergence problem is the following: given a certain matrix , when can the exponent be obtained as the sum of the Magnus series?

A sufficient condition for this series to converge for is

denotes a matrix norm. This result is generic in the sense that one may construct specific matrices for which the series diverges for any .

Magnus generator

A recursive procedure to generate all the terms in the Magnus expansion utilizes the matrices defined recursively through

which then furnish

Here adkΩ is a shorthand for an iterated commutator (see adjoint endomorphism):

while are the Bernoulli numbers with .

Finally, when this recursion is worked out explicitly, it is possible to express as a linear combination of n-fold integrals of n−1 nested commutators involving matrices :

which becomes increasingly intricate with .

Canonical Representation

A non-recursive expression for all the terms in the Magnus expansion can also be formulated by encoding the combinatorics of the recursion in a single integral. This was found by Bialynicki-Birula, Mielnik, and Plebañski in 1969. The iterative solutionThen, this representation can be used to derive the canonical representation which counts the time ordering, and thus encodes the combinatorial structure of the expansion:

This format is advantageous in many applications due to its independent limits of integration and closed form for an arbitrary degree.

The stochastic case

Extension to stochastic ordinary differential equations

-dimensional Brownian motion, on the probability space and natural filtration. Now, consider the linear matrix-valued stochastic Itô differential equation (with Einstein's summation convention over the index )

-valued bounded stochastic processes is the identity matrix. Following the same approach as in the deterministic case with alterations due to the stochastic setting, where with Einstein's summation convention over and

Convergence of the expansion

In the stochastic setting the convergence will now be subject to a stopping time and a first convergence result is given by:

such that:

  1. , i.e.

  2. -almost surely:

    1. is the -th term in the stochastic Magnus expansion as defined below in the subsection Magnus expansion formula;

    there exists a positive constant , such that

Magnus expansion formula

The general expansion formula for the stochastic Magnus expansion is given by:

is an Itô-process of the form:

are defined recursively as

with

and with the operators being defined as

Applications

Since the 1960s, the Magnus expansion has been successfully applied as a perturbative tool in numerous areas of physics and chemistry, from atomic and molecular physics to nuclear magnetic resonance and quantum electrodynamics. It has been also used since 1998 as a tool to construct practical algorithms for the numerical integration of matrix linear differential equations. As they inherit from the Magnus expansion the preservation of qualitative traits of the problem, the corresponding schemes are prototypical examples of geometric numerical integrators.

See also

Notes

References