TY - JOUR

T1 - Statistical analysis of differential equations

T2 - introducing probability measures on numerical solutions

AU - Conrad, Patrick R.

AU - Girolami, Mark

AU - Särkkä, Simo

AU - Stuart, Andrew

AU - Zygalakis, Konstantinos

PY - 2017/7/1

Y1 - 2017/7/1

N2 - In this paper, we present a formal quantification of uncertainty induced by numerical solutions of ordinary and partial differential equation models. Numerical solutions of differential equations contain inherent uncertainties due to the finite-dimensional approximation of an unknown and implicitly defined function. When statistically analysing models based on differential equations describing physical, or other naturally occurring, phenomena, it can be important to explicitly account for the uncertainty introduced by the numerical method. Doing so enables objective determination of this source of uncertainty, relative to other uncertainties, such as those caused by data contaminated with noise or model error induced by missing physical or inadequate descriptors. As ever larger scale mathematical models are being used in the sciences, often sacrificing complete resolution of the differential equation on the grids used, formally accounting for the uncertainty in the numerical method is becoming increasingly more important. This paper provides the formal means to incorporate this uncertainty in a statistical model and its subsequent analysis. We show that a wide variety of existing solvers can be randomised, inducing a probability measure over the solutions of such differential equations. These measures exhibit contraction to a Dirac measure around the true unknown solution, where the rates of convergence are consistent with the underlying deterministic numerical method. Furthermore, we employ the method of modified equations to demonstrate enhanced rates of convergence to stochastic perturbations of the original deterministic problem. Ordinary differential equations and elliptic partial differential equations are used to illustrate the approach to quantify uncertainty in both the statistical analysis of the forward and inverse problems.

AB - In this paper, we present a formal quantification of uncertainty induced by numerical solutions of ordinary and partial differential equation models. Numerical solutions of differential equations contain inherent uncertainties due to the finite-dimensional approximation of an unknown and implicitly defined function. When statistically analysing models based on differential equations describing physical, or other naturally occurring, phenomena, it can be important to explicitly account for the uncertainty introduced by the numerical method. Doing so enables objective determination of this source of uncertainty, relative to other uncertainties, such as those caused by data contaminated with noise or model error induced by missing physical or inadequate descriptors. As ever larger scale mathematical models are being used in the sciences, often sacrificing complete resolution of the differential equation on the grids used, formally accounting for the uncertainty in the numerical method is becoming increasingly more important. This paper provides the formal means to incorporate this uncertainty in a statistical model and its subsequent analysis. We show that a wide variety of existing solvers can be randomised, inducing a probability measure over the solutions of such differential equations. These measures exhibit contraction to a Dirac measure around the true unknown solution, where the rates of convergence are consistent with the underlying deterministic numerical method. Furthermore, we employ the method of modified equations to demonstrate enhanced rates of convergence to stochastic perturbations of the original deterministic problem. Ordinary differential equations and elliptic partial differential equations are used to illustrate the approach to quantify uncertainty in both the statistical analysis of the forward and inverse problems.

KW - Inverse problems

KW - Numerical analysis

KW - Probabilistic numerics

KW - Uncertainty quantification

UR - http://www.scopus.com/inward/record.url?scp=85016098082&partnerID=8YFLogxK

U2 - 10.1007/s11222-016-9671-0

DO - 10.1007/s11222-016-9671-0

M3 - Article

AN - SCOPUS:85016098082

SN - 0960-3174

VL - 27

SP - 1065

EP - 1082

JO - STATISTICS AND COMPUTING

JF - STATISTICS AND COMPUTING

IS - 4

ER -