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arXiv · 1506.04592

Probability Measures for Numerical Solutions of Differential Equations

Patrick R. Conrad·Mark Girolami·Simo Särkkä·Andrew Stuart·Konstantinos Zygalakis
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Abstract

In this paper, we present a formal quantification of epistemic 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 is therefore important to explicitly account for the uncertainty introduced by the numerical method. This enables objective determination of its importance relative to other uncertainties, such as those caused by data contaminated with noise or model error induced by missing physical or inadequate descriptors. To this end 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. Ordinary differential equations and elliptic partial differential equations are used to illustrate the approach to quantifying uncertainty in both the statistical analysis of the forward and inverse problems.

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Patrick R. Conrad, Mark Girolami, Simo Särkkä, Andrew Stuart, Konstantinos Zygalakis. 2015-06-15. Probability Measures for Numerical Solutions of Differential Equations. https://arxiv.org/abs/1506.04592

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