Hans Munthe-Kaas

Hans Munthe-Kaas, Alexander Lundervold

Pre-Lie (or Vinberg) algebras arise from flat and torsion-free connections on differential manifolds. They have been studied extensively in recent years, both from algebraic operadic points of view and through numerous applications in numerical analysis, control theory, stochastic differential equations and renormalization. Butcher series are formal power series founded on pre-Lie algebras, used in numerical analysis to study geometric properties of flows on euclidean spaces. Motivated by the analysis of flows on manifolds and homogeneous spaces, we investigate algebras arising from flat connections with constant torsion, leading to the definition of post-Lie algebras, a generalization of pre-Lie algebras. Whereas pre-Lie algebras are intimately associated with euclidean geometry, post-Lie algebras occur naturally in the differential geometry of homogeneous spaces, and are also closely related to Cartan's method of moving frames. Lie--Butcher series combine Butcher series with Lie series and are used to analyze flows on manifolds. In this paper we show that Lie--Butcher series are founded on post-Lie algebras. The functorial relations between post-Lie algebras and their enveloping algebras, called D-algebras, are explored. Furthermore, we develop new formulas for computations in free post-Lie algebras and D-algebras, based on recursions in a magma, and we show that Lie--Butcher series are related to invariants of curves described by moving frames.

Robert I McLachlan, Klas Modin, Hans Munthe-Kaas et al.

Butcher series appear when Runge-Kutta methods for ordinary differential equations are expanded in power series of the step size parameter. Each term in a Butcher series consists of a weighted elementary differential, and the set of all such differentials is isomorphic to the set of rooted trees, as noted by Cayley in the mid 19th century. A century later Butcher discovered that rooted trees can also be used to obtain the order conditions of Runge-Kutta methods, and he found a natural group structure, today known as the Butcher group. It is now known that many numerical methods also can be expanded in Butcher series; these are called B-series methods. A long-standing problem has been to characterize, in terms of qualitative features, all B-series methods. Here we tell the story of Butcher series, stretching from the early work of Cayley, to modern developments and connections to abstract algebra, and finally to the resolution of the characterization problem. This resolution introduces geometric tools and perspectives to an area traditionally explored using analysis and combinatorics.

Hans Munthe-Kaas, Olivier Verdier

We show that without other further assumption than affine equivariance and locality, a numerical integrator has an expansion in a generalized form of Butcher series (B-series) which we call aromatic B-series. We obtain an explicit description of aromatic B-series in terms of elementary differentials associated to aromatic trees, which are directed graphs generalizing trees. We also define a new class of integrators, the class of aromatic Runge-Kutta methods, that extends the class of Runge-Kutta methods, and have aromatic B-series expansion but are not B-series methods. Finally, those results are partially extended to the case of more general affine group equivariance.

Kurusch Ebrahimi-Fard, Alexander Lundervold, Simon J. A. Malham et al.

We investigate the algebraic structure underlying the stochastic Taylor solution expansion for stochastic differential systems.Our motivation is to construct efficient integrators. These are approximations that generate strong numerical integration schemes that are more accurate than the corresponding stochastic Taylor approximation, independent of the governing vector fields and to all orders. The sinhlog integrator introduced by Malham & Wiese (2009) is one example. Herein we: show that the natural context to study stochastic integrators and their properties is the convolution shuffle algebra of endomorphisms; establish a new whole class of efficient integrators; and then prove that, within this class, the sinhlog integrator generates the optimal efficient stochastic integrator at all orders.

Charles Curry, Kurusch Ebrahimi-Fard, Hans Munthe-Kaas

We explain the notion of a post-Lie algebra and outline its role in the theory of Lie group integrators.

Alexander Lundervold, Hans Munthe-Kaas

Butcher series are combinatorial devices used in the study of numerical methods for differential equations evolving on vector spaces. More precisely, they are formal series developments of differential operators indexed over rooted trees, and can be used to represent a large class of numerical methods. The theory of backward error analysis for differential equations has a particularly nice description when applied to methods represented by Butcher series. For the study of differential equations evolving on more general manifolds, a generalization of Butcher series has been introduced, called Lie--Butcher series. This paper presents the theory of backward error analysis for methods based on Lie--Butcher series.

Hans Munthe-Kaas, Olivier Verdier

We consider numerical integrators of ODEs on homogeneous spaces (spheres, affine spaces, hyperbolic spaces). Homogeneous spaces are equipped with a built-in symmetry. A numerical integrator respects this symmetry if it is equivariant. One obtains homogeneous space integrators by combining a Lie group integrator with an isotropy choice. We show that equivariant isotropy choices combined with equivariant Lie group integrators produce equivariant homogeneous space integrators. Moreover, we show that the RKMK, Crouch--Grossman or commutator-free methods are equivariant. To show this, we give a novel description of Lie group integrators in terms of stage trees and motion maps, which unifies the known Lie group integrators. We then proceed to study the equivariant isotropy maps of order zero, which we call connections, and show that they can be identified with reductive structures and invariant principal connections. We give concrete formulas for connections in standard homogeneous spaces of interest, such as Stiefel, Grassmannian, isospectral, and polar decomposition manifolds. Finally, we show that the space of matrices of fixed rank possesses no connection.

Adrien Busnot Laurent, Hans Munthe-Kaas, Venkatesh G. S

Aromatic Butcher series were successfully introduced for the study and design of numerical integrators that preserve volume while solving differential equations in Euclidean spaces. They are naturally associated to pre-Lie-Rinehart algebras and pre-Hopf algebroids structures, and aromatic trees were shown to form the free tracial pre-Lie-Rinehart algebra. In this paper, we present the generalisation of aromatic trees for the study of divergence-free integrators on manifolds. We introduce planar aromatic trees, show that they span the free tracial post-Lie-Rinehart algebra, and apply them for deriving new Lie-group methods that preserve geometric divergence-free features up to a high order of accuracy.

Kurusch Ebrahimi-Fard, Alexander Lundervold, Hans Munthe-Kaas

We consider pairs of Lie algebras $g$ and $\bar{g}$, defined over a common vector space, where the Lie brackets of $g$ and $\bar{g}$ are related via a post-Lie algebra structure. The latter can be extended to the Lie enveloping algebra $U(g)$. This permits us to define another associative product on $U(g)$, which gives rise to a Hopf algebra isomorphism between $U(\bar{g})$ and a new Hopf algebra assembled from $U(g)$ with the new product. For the free post-Lie algebra these constructions provide a refined understanding of a fundamental Hopf algebra appearing in the theory of numerical integration methods for differential equations on manifolds. In the pre-Lie setting, the algebraic point of view developed here also provides a concise way to develop Butcher's order theory for Runge--Kutta methods.

Robert I. McLachlan, Klas Modin, Hans Munthe-Kaas et al.

Butcher series, also called B-series, are a type of expansion, fundamental in the analysis of numerical integration. Numerical methods that can be expanded in B-series are defined in all dimensions, so they correspond to \emph{sequences of maps}---one map for each dimension. A long-standing problem has been to characterise those sequences of maps that arise from B-series. This problem is solved here: we prove that a sequence of smooth maps between vector fields on affine spaces has a B-series expansion if and only if it is \emph{affine equivariant}, meaning it respects all affine maps between affine spaces.

Alexander Lundervold, Hans Munthe-Kaas

B-series originated from the work of John Butcher in the 1960s as a tool to analyze numerical integration of differential equations, in particular Runge-Kutta methods. Connections to renormalization theory in perturbative quantum field theory have been established in recent years. The algebraic structure of classical Runge-Kutta methods is described by the Connes-Kreimer Hopf algebra. Lie-Butcher theory is a generalization of B-series aimed at studying Lie-group integrators for differential equations evolving on manifolds. Lie-group integrators are based on general Lie group actions on a manifold, and classical Runge-Kutta integrators appear in this setting as the special case of R^n acting upon itself by translations. Lie--Butcher theory combines classical B-series on R^n with Lie-series on manifolds. The underlying Hopf algebra combines the Connes-Kreimer Hopf algebra with the shuffle Hopf algebra of free Lie algebras. We give an introduction to Hopf algebraic structures and their relationship to structures appearing in numerical analysis, aimed at a general mathematical audience. In particular we explore the close connection between Lie series, time-dependent Lie series and Lie--Butcher series for diffeomorphisms on manifolds. The role of the Euler and Dynkin idempotents in numerical analysis is discussed. A non-commutative version of a Faa di Bruno bialgebra is introduced, and the relation to non-commutative Bell polynomials is explored.