Lagrangian uncertainty quantification and information inequalities for stochastic flows

DOI10.1137/19M1263133MaRDI QIDQ5158922zbMATH OpenOpenAlexFDO

Authors Kenneth Uda, Michal Branicki

Publication date 26 October 2021

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.08707

zbMATH Keywords

information theoryinformation geometrystochastic flowsinformation inequalities\(\varphi\)-divergenceexpansion ratesLagrangian uncertainty quantification

Mathematics Subject Classification ID

Information theory (general) (94A15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We develop a systematic information-theoretic framework for quantification and mitigation of error in probabilistic Lagrangian (i.e., path-based) predictions which are obtained from dynamical systems generated by uncertain (Eulerian) vector fields. This work is motivated by the desire to improve Lagrangian predictions in complex dynamical systems based either on analytically simplified or data-driven models. We derive a hierarchy of general information bounds on uncertainty in estimates of statistical observables $mathbb{E}^u[f]$, evaluated on trajectories of the approximating dynamical system, relative to the "true observables $mathbb{E}^{mu}[f]$ in terms of certain $varphi$-divergences, $mathcal{D}_{v}arphi(mu|u)$, which quantify discrepancies between probability measures $mu$ associated with the original dynamics and their approximations $u$. We then derive two distinct bounds on $mathcal{D}_{v}arphi(mu|u)$ itself in terms of the Eulerian fields. This new framework provides a rigorous way for quantifying and mitigating uncertainty in Lagrangian predictions due to Eulerian model error.

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Cited in

(2)

• Lagrangian descriptors with uncertainty
• Path-Based Divergence Rates and Lagrangian Uncertainty in Stochastic Flows

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