Lagrangian uncertainty quantification and information inequalities for stochastic flows

DOI10.1137/19M1263133zbMATH Open1481.60104arXiv1905.08707OpenAlexW3184017816MaRDI QIDQ5158922FDOQ5158922

Authors: Kenneth Uda, Michal Branicki 

Publication date: 26 October 2021

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

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.

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

Recommendations

• Path-Based Divergence Rates and Lagrangian Uncertainty in Stochastic Flows
• Stochastic sensitivity: a computable Lagrangian uncertainty measure for unsteady flows
• Uncertainty quantification of nonlinear Lagrangian data assimilation using linear stochastic forecast models
• Information barriers for noisy Lagrangian tracers in filtering random incompressible flows
• Stochastic approaches to Lagrangian coherent structures

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)

Cites Work

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Model Selection and Multimodel Inference
• Why least squares and maximum entropy? An axiomatic approach to inference for linear inverse problems
• Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Random Perturbations of Dynamical Systems
• Title not available (Why is that?)
• On Divergences and Informations in Statistics and Information Theory
• Title not available (Why is that?)
• Multiscale Methods
• Title not available (Why is that?)
• Title not available (Why is that?)
• Strong convergence of principle of averaging for multiscale stochastic dynamical systems
• Axiomatic characterizations of information measures
• Minimization of the Kullback information of diffusion processes
• A class of measures of informativity of observation channels
• Entropies, convexity, and functional inequalities: on \(\Phi\)-entropies and \(\Phi\)-Sobolev inequalities
• Title not available (Why is that?)
• Computation of failure probability subject to epistemic uncertainty
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• Formulae for the derivatives of heat semigroups
• Parametric statistical models and likelihood
• Non-Gaussian test models for prediction and state estimation with model errors
• Large deviations in fast-slow systems
• Title not available (Why is that?)
• Title not available (Why is that?)
• Noise-Induced Phenomena in Slow-Fast Dynamical Systems
• Definition and properties of Lagrangian coherent structures from finite-time Lyapunov exponents in two-dimensional aperiodic flows
• Stochastic methods. A handbook for the natural and social sciences
• $\alpha$-Divergence Is Unique, Belonging to Both $f$-Divergence and Bregman Divergence Classes
• Lagrangian coherent structures in n-dimensional systems
• Markov Processes from K. Ito's Perspective (AM-155)
• Chaotic transport in dynamical systems
• The heterogeneous multiscale methods
• Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals
• Quantifying Bayesian filter performance for turbulent dynamical systems through information theory
• Reduction of deterministic coupled atmosphere–ocean models to stochastic ocean models: a numerical case study of the Lorenz–Maas system
• Existence and uniqueness of solutions for Fokker-Planck equations on Hilbert spaces
• Large deviations and Nelson processes
• Minimization of energy functionals applied to some inverse problems
• Minimizers of energy functionals
• Quantifying uncertainty for predictions with model error in non-Gaussian systems with intermittency
• Lessons in uncertainty quantification for turbulent dynamical systems
• Link between statistical equilibrium fidelity and forecasting skill for complex systems with model error
• Title not available (Why is that?)
• L² Diffusion Approximation for Slow Motion in Averaging
• Transport in two-dimensional maps
• Elimination of fast chaotic degrees of freedom: on the accuracy of the Born approximation
• Title not available (Why is that?)
• Title not available (Why is that?)
• Viscosity solutions and applications. Lectures given at the 2nd session of the Centro Internazionale Matematico Estivo (CIME), Montecatini Terme, Italy, June 12-20, 1995
• Hopf bifurcation with additive noise
• Information geometry and its applications
• Improving model fidelity and sensitivity for complex systems through empirical information theory
• Path-space information bounds for uncertainty quantification and sensitivity analysis of stochastic dynamics
• Minimum Variance Estimation Without Regularity Assumptions
• The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
• Distances between transition probabilities of diffusions and applications to nonlinear Fokker-Planck-Kolmogorov equations
• Distinguishing and integrating aleatoric and epistemic variation in uncertainty quantification
• On the approximation of transport phenomena - a dynamical systems approach
• Time-periodic measures, random periodic orbits, and the linear response for dissipative non-autonomous stochastic differential equations

Cited In (2)

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

This page was built for publication: Lagrangian uncertainty quantification and information inequalities for stochastic flows

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5158922)