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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Preference-based optimization algorithms are iterative procedures that seek the optimal calibration of a decision vector based only on comparisons between couples of different tunings. At each iteration, a human decision-maker expresses a preference between two calibrations (samples), highlighting which one, if any, is better than the other. The optimization procedure must use the observed preferences to find the tuning of the decision vector that is most preferred by the decision-maker, while also minimizing the number of comparisons. In this work, we formulate the preference-based optimization problem from a utility theory perspective. Then, we propose GLISp-r, an extension of a recent preference-based optimization procedure called GLISp. The latter uses a Radial Basis Function surrogate to describe the tastes of the decision-maker. Iteratively, GLISp proposes new samples to compare with the best calibration available by trading off exploitation of the surrogate model and exploration of the decision space. In GLISp-r, we propose a different criterion to use when looking for new candidate samples that is inspired by MSRS, a popular procedure in the black-box optimization framework. Compared to GLISp, GLISp-r is less likely to get stuck on local optima of the preference-based optimization problem. We motivate this claim theoretically, with a proof of global convergence, and empirically, by comparing the performances of GLISp and GLISp-r on several benchmark optimization problems.
I propose an alternative algorithm to compute the MMS voting rule. Instead of using linear programming, in this new algorithm the maximin support value of a committee is computed using a sequence of maximum flow problems.
We investigate a class of parametric elliptic semilinear partial differential equations of second order with homogeneous essential boundary conditions, where the coefficients and the right-hand side (and hence the solution) may depend on a parameter. This model can be seen as a reaction-diffusion problem with a polynomial nonlinearity in the reaction term. The efficiency of various numerical approximations across the entire parameter space is closely related to the regularity of the solution with respect to the parameter. We show that if the coefficients and the right-hand side are analytic or Gevrey class regular with respect to the parameter, the same type of parametric regularity is valid for the solution. The key ingredient of the proof is the combination of the alternative-to-factorial technique from our previous work [1] with a novel argument for the treatment of the power-type nonlinearity in the reaction term. As an application of this abstract result, we obtain rigorous convergence estimates for numerical integration of semilinear reaction-diffusion problems with random coefficients using Gaussian and Quasi-Monte Carlo quadrature. Our theoretical findings are confirmed in numerical experiments.
We introduce a flexible method to simultaneously infer both the drift and volatility functions of a discretely observed scalar diffusion. We introduce spline bases to represent these functions and develop a Markov chain Monte Carlo algorithm to infer, a posteriori, the coefficients of these functions in the spline basis. A key innovation is that we use spline bases to model transformed versions of the drift and volatility functions rather than the functions themselves. The output of the algorithm is a posterior sample of plausible drift and volatility functions that are not constrained to any particular parametric family. The flexibility of this approach provides practitioners a powerful investigative tool, allowing them to posit a variety of parametric models to better capture the underlying dynamics of their processes of interest. We illustrate the versatility of our method by applying it to challenging datasets from finance, paleoclimatology, and astrophysics. In view of the parametric diffusion models widely employed in the literature for those examples, some of our results are surprising since they call into question some aspects of these models.
We develop a numerical method for the Westervelt equation, an important equation in nonlinear acoustics, in the form where the attenuation is represented by a class of non-local in time operators. A semi-discretisation in time based on the trapezoidal rule and A-stable convolution quadrature is stated and analysed. Existence and regularity analysis of the continuous equations informs the stability and error analysis of the semi-discrete system. The error analysis includes the consideration of the singularity at $t = 0$ which is addressed by the use of a correction in the numerical scheme. Extensive numerical experiments confirm the theory.
Effective application of mathematical models to interpret biological data and make accurate predictions often requires that model parameters are identifiable. Approaches to assess the so-called structural identifiability of models are well-established for ordinary differential equation models, yet there are no commonly adopted approaches that can be applied to assess the structural identifiability of the partial differential equation (PDE) models that are requisite to capture spatial features inherent to many phenomena. The differential algebra approach to structural identifiability has recently been demonstrated to be applicable to several specific PDE models. In this brief article, we present general methodology for performing structural identifiability analysis on partially observed linear reaction-advection-diffusion (RAD) PDE models. We show that the differential algebra approach can always, in theory, be applied to linear RAD models. Moreover, despite the perceived complexity introduced by the addition of advection and diffusion terms, identifiability of spatial analogues of non-spatial models cannot decrease structural identifiability. Finally, we show that our approach can also be applied to a class of non-linear PDE models that are linear in the unobserved variables, and conclude by discussing future possibilities and computational cost of performing structural identifiability analysis on more general PDE models in mathematical biology.
Langevin dynamics are widely used in sampling high-dimensional, non-Gaussian distributions whose densities are known up to a normalizing constant. In particular, there is strong interest in unadjusted Langevin algorithms (ULA), which directly discretize Langevin dynamics to estimate expectations over the target distribution. We study the use of transport maps that approximately normalize a target distribution as a way to precondition and accelerate the convergence of Langevin dynamics. We show that in continuous time, when a transport map is applied to Langevin dynamics, the result is a Riemannian manifold Langevin dynamics (RMLD) with metric defined by the transport map. We also show that applying a transport map to an irreversibly-perturbed ULA results in a geometry-informed irreversible perturbation (GiIrr) of the original dynamics. These connections suggest more systematic ways of learning metrics and perturbations, and also yield alternative discretizations of the RMLD described by the map, which we study. Under appropriate conditions, these discretized processes can be endowed with non-asymptotic bounds describing convergence to the target distribution in 2-Wasserstein distance. Illustrative numerical results complement our theoretical claims.
We introduce the modified planar rotator method (MPRS), a physically inspired machine learning method for spatial/temporal regression. MPRS is a non-parametric model which incorporates spatial or temporal correlations via short-range, distance-dependent ``interactions'' without assuming a specific form for the underlying probability distribution. Predictions are obtained by means of a fully autonomous learning algorithm which employs equilibrium conditional Monte Carlo simulations. MPRS is able to handle scattered data and arbitrary spatial dimensions. We report tests on various synthetic and real-word data in one, two and three dimensions which demonstrate that the MPRS prediction performance (without parameter tuning) is competitive with standard interpolation methods such as ordinary kriging and inverse distance weighting. In particular, MPRS is a particularly effective gap-filling method for rough and non-Gaussian data (e.g., daily precipitation time series). MPRS shows superior computational efficiency and scalability for large samples. Massive data sets involving millions of nodes can be processed in a few seconds on a standard personal computer.
The nonlinear Poisson-Boltzmann equation (NPBE) is an elliptic partial differential equation used in applications such as protein interactions and biophysical chemistry (among many others). It describes the nonlinear electrostatic potential of charged bodies submerged in an ionic solution. The kinetic presence of the solvent molecules introduces randomness to the shape of a protein, and thus a more accurate model that incorporates these random perturbations of the domain is analyzed to compute the statistics of quantities of interest of the solution. When the parameterization of the random perturbations is high-dimensional, this calculation is intractable as it is subject to the curse of dimensionality. However, if the solution of the NPBE varies analytically with respect to the random parameters, the problem becomes amenable to techniques such as sparse grids and deep neural networks. In this paper, we show analyticity of the solution of the NPBE with respect to analytic perturbations of the domain by using the analytic implicit function theorem and the domain mapping method. Previous works have shown analyticity of solutions to linear elliptic equations but not for nonlinear problems. We further show how to derive \emph{a priori} bounds on the size of the region of analyticity. This method is applied to the trypsin molecule to demonstrate that the convergence rates of the quantity of interest are consistent with the analyticity result. Furthermore, the approach developed here is sufficiently general enough to be applied to other nonlinear problems in uncertainty quantification.
The complexity class Quantum Statistical Zero-Knowledge ($\mathsf{QSZK}$) captures computational difficulties of the time-bounded quantum state testing problem with respect to the trace distance, known as the Quantum State Distinguishability Problem (QSDP) introduced by Watrous (FOCS 2002). However, QSDP is in $\mathsf{QSZK}$ merely within the constant polarizing regime, similar to its classical counterpart shown by Sahai and Vadhan (JACM 2003) due to the polarization lemma (error reduction for SDP). Recently, Berman, Degwekar, Rothblum, and Vasudevan (TCC 2019) extended the $\mathsf{SZK}$ containment for SDP beyond the polarizing regime via the time-bounded distribution testing problems with respect to the triangular discrimination and the Jensen-Shannon divergence. Our work introduces proper quantum analogs for these problems by defining quantum counterparts for triangular discrimination. We investigate whether the quantum analogs behave similarly to their classical counterparts and examine the limitations of existing approaches to polarization regarding quantum distances. These new $\mathsf{QSZK}$-complete problems improve $\mathsf{QSZK}$ containments for QSDP beyond the polarizing regime and establish a simple $\mathsf{QSZK}$-hardness for the quantum entropy difference problem (QEDP) defined by Ben-Aroya, Schwartz, and Ta-Shma (ToC 2010). Furthermore, we prove that QSDP with some exponentially small errors is in $\mathsf{PP}$, while the same problem without error is in $\mathsf{NQP}$.
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