Error estimation and uncertainty quantification for first time to a threshold value

DOI10.1007/S10543-020-00825-0MaRDI QIDQ2660604zbMATH OpenOpenAlexFDO

Authors Zachary Stevens, Jehanzeb Hameed Chaudhry, D. Estep, S. J. Tavener

Publication date 31 March 2021

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.11139

zbMATH Keywords

adjoint based error estimationerror boundsinitial value problemsMonte Carlo methodsuncertainty quantification

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Error bounds for numerical methods for ordinary differential equations (65L70)

Abstract: Classical a posteriori error analysis for differential equations quantifies the error in a Quantity of Interest (QoI) which is represented as a bounded linear functional of the solution. In this work we consider a posteriori error estimates of a quantity of interest that cannot be represented in this fashion, namely the time at which a threshold is crossed for the first time. We derive two representations for such errors and use an adjoint-based a posteriori approach to estimate unknown terms that appear in our representation. The first representation is based on linearizations using Taylor's Theorem. The second representation is obtained by implementing standard root-finding techniques. We provide several examples which demonstrate the accuracy of the methods. We then embed these error estimates within a framework to provide error bounds on a cumulative distribution function when parameters of the differential equations are uncertain.

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Cited in

(2)

• Error estimation for the time to a threshold value in evolutionary partial differential equations
• Adaptive uncertainty quantification for stochastic hyperbolic conservation laws

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