Dynamics of data-driven ambiguity sets for hyperbolic conservation laws with uncertain inputs

DOI10.1137/20M1325034zbMATH Open1467.35366arXiv2003.06735OpenAlexW3168221537WikidataQ115525539 ScholiaQ115525539MaRDI QIDQ4997437FDOQ4997437

Authors: F. Boso, J. Cortés, Sonia Martínez, D. Boskos, Daniel M. Tartakovsky 

Publication date: 29 June 2021

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: Ambiguity sets of probability distributions are used to hedge against uncertainty about the true probabilities of random quantities of interest (QoIs). When available, these ambiguity sets are constructed from both data (collected at the initial time and along the boundaries of the physical domain) and concentration-of-measure results on the Wasserstein metric. To propagate the ambiguity sets into the future, we use a physics-dependent equation governing the evolution of cumulative distribution functions (CDF) obtained through the method of distributions. This study focuses on the latter step by investigating the spatio-temporal evolution of data-driven ambiguity sets and their associated guarantees when the random QoIs they describe obey hyperbolic partial-differential equations with random inputs. For general nonlinear hyperbolic equations with smooth solutions, the CDF equation is used to propagate the upper and lower envelopes of pointwise ambiguity bands. For linear dynamics, the CDF equation allows us to construct an evolution equation for tighter ambiguity balls. We demonstrate that, in both cases, the ambiguity sets are guaranteed to contain the true (unknown) distributions within a prescribed confidence.

Full work available at URL: https://arxiv.org/abs/2003.06735

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zbMATH Keywords

uncertainty quantificationmethod of distributionsWasserstein ambiguity set

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of mathematical programming (90C90) Reasoning under uncertainty in the context of artificial intelligence (68T37) Stochastic programming (90C15) Hyperbolic conservation laws (35L65) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (4)

• Data-informed method of distributions for hyperbolic conservation laws
• Data assimilation for hyperbolic conservation laws: a Luenberger observer approach based on a kinetic description
• Information geometry of physics-informed statistical manifolds and its use in data assimilation
• Learning on dynamic statistical manifolds

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