MATHICSE Technical Report : Random time step probabilistic methods for uncertainty quantification in chaotic and geometric numerical integration

A novel probabilistic numerical method for quantifying the uncertainty induced by the time integration of ordinary differential equations (ODEs) is introduced. Departing from the classical strategy to randomize ODE solvers by adding a random forcing term, we show that a probability measure over the numerical solution of ODEs can be obtained by introducing suitable random time-steps in a classical time integrator. This intrinsic randomization allows for the conservation of geometric properties of the underlying deterministic integrator such as mass conservation, conservation of first integrals, symplecticity and conservation of Hamiltonians over long time. Weak and mean-square convergence analysis are derived. We also analyse the convergence of the Monte Carlo estimator for the proposed random time step method and show that the measure obtained with repeated sampling converges in mean-square sense independently of the number of samples. Numerical examples including chaotic Hamiltonian systems, chemical reactions and Bayesian inferential problems illustrate the accuracy, robustness and versatility of our probabilistic numerical method.


Year:
Sep 05 2018
Publisher:
Écublens, MATHICSE
Keywords:
Note:
MATHICSE Technical Report Nr. 11.2018
Laboratories:




 Record created 2019-09-27, last modified 2019-12-05

Version 1:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)