A probabilistic model for the numerical solution of initial value problems

DOI10.1007/S11222-017-9798-7MaRDI QIDQ2329752zbMATHOpenAlexFDO

Authors Michael Schober, Simo Särkkä, Philipp Hennig

Publication date 18 October 2019

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.05261

zbMATH Keywords

Gaussian processesMarkov processesfilteringprobabilistic numericsinitial value problemsRunge-Kutta methodsNordsieck methods

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Abstract: Like many numerical methods, solvers for initial value problems (IVPs) on ordinary differential equations estimate an analytically intractable quantity, using the results of tractable computations as inputs. This structure is closely connected to the notion of inference on latent variables in statistics. We describe a class of algorithms that formulate the solution to an IVP as inference on a latent path that is a draw from a Gaussian process probability measure (or equivalently, the solution of a linear stochastic differential equation). We then show that certain members of this class are connected precisely to generalized linear methods for ODEs, a number of Runge--Kutta methods, and Nordsieck methods. This probabilistic formulation of classic methods is valuable in two ways: analytically, it highlights implicit prior assumptions favoring certain approximate solutions to the IVP over others, and gives a precise meaning to the old observation that these methods act like filters. Practically, it endows the classic solvers with `docking points' for notions of uncertainty and prior information about the initial value, the value of the ODE itself, and the solution of the problem.

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