Preprint Article Version 1 This version is not peer-reviewed

Fourier Transform on the Homogeneous Space of 3D Positions and Orientations for Exact Solutions to PDEs

Version 1 : Received: 31 October 2018 / Approved: 2 November 2018 / Online: 2 November 2018 (06:42:58 CET)

A peer-reviewed article of this Preprint also exists.

Duits, R.; Bekkers, E.J.; Mashtakov, A. Fourier Transform on the Homogeneous Space of 3D Positions and Orientations for Exact Solutions to Linear PDEs. Entropy 2019, 21, 38. Duits, R.; Bekkers, E.J.; Mashtakov, A. Fourier Transform on the Homogeneous Space of 3D Positions and Orientations for Exact Solutions to Linear PDEs. Entropy 2019, 21, 38.

Journal reference: Entropy 2019, 21, 38
DOI: 10.3390/e21010038

Abstract

Fokker-Planck PDEs (incl. diffusions) for stable Lévy processes (incl. Wiener processes) on the joint space of positions and orientations play a major role in mechanics, robotics, image analysis, directional statistics and probability theory. Exact analytic designs and solutions are known in the 2D case, where they have been obtained using Fourier transform on $SE(2)$. Here we extend these approaches to 3D using Fourier transform on the Lie group $SE(3)$ of rigid body motions. More precisely, we define the homogeneous space of 3D positions and orientations $\mathbb{R}^{3}\rtimes S^{2}:=SE(3)/(\{\mathbf{0}\} \times SO(2))$ as the quotient in $SE(3)$. In our construction, two group elements are equivalent if they are equal up to a rotation around the reference axis. On this quotient we design a specific Fourier transform. We apply this Fourier transform to derive new exact solutions to Fokker-Planck PDEs of $\alpha$-stable Lévy processes on $\mathbb{R}^{3}\rtimes S^{2}$. This reduces classical analysis computations and provides an explicit algebraic spectral decomposition of the solutions. We compare the exact probability kernel for $\alpha = 1$ (the diffusion kernel) to the kernel for $\alpha=\frac12$ (the Poisson kernel). We set up SDEs for the Lévy processes on the quotient and derive corresponding Monte-Carlo methods. We verify that the exact probability kernels arise as the limit of the Monte-Carlo approximations.

Subject Areas

Fourier transform; rigid body motions; partial differential equations; Lévy processes; lie groups; homogeneous spaces; stochastic differential equations

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