Partial differential equations (PDEs) with uncertain or random inputs have been considered in many studies of uncertainty quantification. In forward uncertainty quantification, one is interested in analyzing the stochastic response of the PDE subject to input uncertainty, which usually involves solving high-dimensional integrals of the PDE output over a sequence of stochastic variables. In practical computations, one typically needs to discretize the problem in several ways: approximating an infinite-dimensional input random field with a finite-dimensional random field, spatial discretization of the PDE using, e.g., finite elements, and approximating high-dimensional integrals using cubatures such as quasi-Monte Carlo methods. In this paper, we focus on the error resulting from dimension truncation of an input random field. We show how Taylor series can be used to derive theoretical dimension truncation rates for a wide class of problems and we provide a simple checklist of conditions that a parametric mathematical model needs to satisfy in order for our dimension truncation error bound to hold. Some of the novel features of our approach include that our results are applicable to non-affine parametric operator equations, dimensionally-truncated conforming finite element discretized solutions of parametric PDEs, and even compositions of PDE solutions with smooth nonlinear quantities of interest. As a specific application of our method, we derive an improved dimension truncation error bound for elliptic PDEs with lognormally parameterized diffusion coefficients. Numerical examples support our theoretical findings.
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We introduce free probability analogues of the stochastic theta methods for free stochastic differential equations, which generalize the free Euler-Maruyama method introduced by Schl\"{u}chtermann and Wibmer [27]. Under some mild conditions, we prove the strong convergence and exponential stability in mean square of the numerical solution. The free stochastic theta method with $\theta=1$ can inherit the exponential stability of original equations for any given step size. Our method can offer better stability and efficiency than the free Euler-Maruyama method. Moreover, numerical results are reported to confirm these theoretical findings.
Logical characterisations, rule formats and compositionality for input-output conformance simulation
Input-output conformance simulation (iocos) has been proposed by Gregorio-Rodr\'iguez, Llana and Mart\'inez-Torres as a simulation-based behavioural preorder underlying model-based testing. This relation is inspired by Tretmans' classic ioco relation, but has better worst-case complexity than ioco and supports stepwise refinement. The goal of this paper is to develop the theory of iocos by studying logical characterisations of this relation, rule formats for it and its compositionality. More specifically, this article presents characterisations of iocos in terms of modal logics and compares them with an existing logical characterisation for ioco proposed by Beohar and Mousavi. It also offers a characteristic-formula construction for iocos over finite processes in an extension of the proposed modal logics with greatest fixed points. A precongruence rule format for iocos and a rule format ensuring that operations take quiescence properly into account are also given. Both rule formats are based on the GSOS format by Bloom, Istrail and Meyer. The general modal decomposition methodology of Fokkink and van Glabbeek is used to show how to check the satisfaction of properties expressed in the logic for iocos in a compositional way for operations specified by rules in the precongruence rule format for iocos .
We propose a Bernoulli-barycentric rational matrix collocation method for two-dimensional evolutionary partial differential equations (PDEs) with variable coefficients that combines Bernoulli polynomials with barycentric rational interpolations in time and space, respectively. The theoretical accuracy $O\left((2\pi)^{-N}+h_x^{d_x-1}+h_y^{d_y-1}\right)$ of our numerical scheme is proven, where $N$ is the number of basis functions in time, $h_x$ and $h_y$ are the grid sizes in the $x$, $y$-directions, respectively, and $0\leq d_x\leq \frac{b-a}{h_x},~0\leq d_y\leq\frac{d-c}{h_y}$. For the efficient solution of the relevant linear system arising from the discretizations, we introduce a class of dimension expanded preconditioners that take the advantage of structural properties of the coefficient matrices, and we present a theoretical analysis of eigenvalue distributions of the preconditioned matrices. The effectiveness of our proposed method and preconditioners are studied for solving some real-world examples represented by the heat conduction equation, the advection-diffusion equation, the wave equation and telegraph equations.
We explore a linear inhomogeneous elasticity equation with random Lam\'e parameters. The latter are parameterized by a countably infinite number of terms in separated expansions. The main aim of this work is to estimate expected values (considered as an infinite dimensional integral on the parametric space corresponding to the random coefficients) of linear functionals acting on the solution of the elasticity equation. To achieve this, the expansions of the random parameters are truncated, a high-order quasi-Monte Carlo (QMC) is combined with a sparse grid approach to approximate the high dimensional integral, and a Galerkin finite element method (FEM) is introduced to approximate the solution of the elasticity equation over the physical domain. The error estimates from (1) truncating the infinite expansion, (2) the Galerkin FEM, and (3) the QMC sparse grid quadrature rule are all studied. For this purpose, we show certain required regularity properties of the continuous solution with respect to both the parametric and physical variables. To achieve our theoretical regularity and convergence results, some reasonable assumptions on the expansions of the random coefficients are imposed. Finally, some numerical results are delivered.
We present a manifold-based autoencoder method for learning nonlinear dynamics in time, notably partial differential equations (PDEs), in which the manifold latent space evolves according to Ricci flow. This can be accomplished by simulating Ricci flow in a physics-informed setting, and manifold quantities can be matched so that Ricci flow is empirically achieved. With our methodology, the manifold is learned as part of the training procedure, so ideal geometries may be discerned, while the evolution simultaneously induces a more accommodating latent representation over static methods. We present our method on a range of numerical experiments consisting of PDEs that encompass desirable characteristics such as periodicity and randomness, remarking error on in-distribution and extrapolation scenarios.
Motivated by the desire to understand stochastic algorithms for nonconvex optimization that are robust to their hyperparameter choices, we analyze a mini-batched prox-linear iterative algorithm for the problem of recovering an unknown rank-1 matrix from rank-1 Gaussian measurements corrupted by noise. We derive a deterministic recursion that predicts the error of this method and show, using a non-asymptotic framework, that this prediction is accurate for any batch-size and a large range of step-sizes. In particular, our analysis reveals that this method, though stochastic, converges linearly from a local initialization with a fixed step-size to a statistical error floor. Our analysis also exposes how the batch-size, step-size, and noise level affect the (linear) convergence rate and the eventual statistical estimation error, and we demonstrate how to use our deterministic predictions to perform hyperparameter tuning (e.g. step-size and batch-size selection) without ever running the method. On a technical level, our analysis is enabled in part by showing that the fluctuations of the empirical iterates around our deterministic predictions scale with the error of the previous iterate.
An efficient approximate version of implicit Taylor methods for initial-value problems of systems of ordinary differential equations (ODEs) is introduced. The approach, based on an approximate formulation of Taylor methods, produces a method that requires less evaluations of the function that defines the ODE and its derivatives than the usual version. On the other hand, an efficient numerical solution of the equation that arises from the discretization by means of Newton's method is introduced for an implicit scheme of any order. Numerical experiments illustrate that the resulting algorithm is simpler to implement and has better performance than its exact counterpart.
We develop a sparse spectral method for a class of fractional differential equations, posed on $\mathbb{R}$, in one dimension. These equations can include sqrt-Laplacian, Hilbert, derivative and identity terms. The numerical method utilizes a basis consisting of weighted Chebyshev polynomials of the second kind in conjunction with their Hilbert transforms. The former functions are supported on $[-1,1]$ whereas the latter have global support. The global approximation space can contain different affine transformations of the basis, mapping $[-1,1]$ to other intervals. Remarkably, not only are the induced linear systems sparse, but the operator decouples across the different affine transformations. Hence, the solve reduces to solving $K$ independent sparse linear systems of size $\mathcal{O}(n)\times \mathcal{O}(n)$, with $\mathcal{O}(n)$ nonzero entries, where $K$ is the number of different intervals and $n$ is the highest polynomial degree contained in the sum space. This results in an $\mathcal{O}(n)$ complexity solve. Applications to fractional heat and wave equations are considered.
Partial differential equations (PDEs) have become an essential tool for modeling complex physical systems. Such equations are typically solved numerically via mesh-based methods, such as finite element methods, with solutions over the spatial domain. However, obtaining these solutions are often prohibitively costly, limiting the feasibility of exploring parameters in PDEs. In this paper, we propose an efficient emulator that simultaneously predicts the solutions over the spatial domain, with theoretical justification of its uncertainty quantification. The novelty of the proposed method lies in the incorporation of the mesh node coordinates into the statistical model. In particular, the proposed method segments the mesh nodes into multiple clusters via a Dirichlet process prior and fits Gaussian process models with the same hyperparameters in each of them. Most importantly, by revealing the underlying clustering structures, the proposed method can provide valuable insights into qualitative features of the resulting dynamics that can be used to guide further investigations. Real examples are demonstrated to show that our proposed method has smaller prediction errors than its main competitors, with competitive computation time, and identifies interesting clusters of mesh nodes that possess physical significance, such as satisfying boundary conditions. An R package for the proposed methodology is provided in an open repository.
We provide a Lyapunov convergence analysis for time-inhomogeneous variable coefficient stochastic differential equations (SDEs). Three typical examples include overdamped, irreversible drift, and underdamped Langevin dynamics. We first formula the probability transition equation of Langevin dynamics as a modified gradient flow of the Kullback-Leibler divergence in the probability space with respect to time-dependent optimal transport metrics. This formulation contains both gradient and non-gradient directions depending on a class of time-dependent target distribution. We then select a time-dependent relative Fisher information functional as a Lyapunov functional. We develop a time-dependent Hessian matrix condition, which guarantees the convergence of the probability density function of the SDE. We verify the proposed conditions for several time-inhomogeneous Langevin dynamics. For the overdamped Langevin dynamics, we prove the $O(t^{-1/2})$ convergence in $L^1$ distance for the simulated annealing dynamics with a strongly convex potential function. For the irreversible drift Langevin dynamics, we prove an improved convergence towards the target distribution in an asymptotic regime. We also verify the convergence condition for the underdamped Langevin dynamics. Numerical examples demonstrate the convergence results for the time-dependent Langevin dynamics.
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