A probabilistic decomposition-synthesis method for the quantification of rare events due to internal instabilities

DOI10.1016/J.JCP.2016.06.047MaRDI QIDQ729583zbMATH OpenOpenAlexFDO

Authors Mustafa A. Mohamad, Will Cousins, T. P. Sapsis

Publication date 20 December 2016

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.02392

zbMATH Keywords

uncertainty quantificationheavy-tailsrare eventsrogue wavesstochastic dynamical systemsintermittency

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: We consider the problem of probabilistic quantification of dynamical systems that have heavy-tailed characteristics. These heavy-tailed features are associated with rare transient responses due to the occurrence of internal instabilities. Here we develop a computational method, a probabilistic decomposition-synthesis technique, that takes into account the nature of internal instabilities to inexpensively determine the non-Gaussian probability density function for any arbitrary quantity of interest. Our approach relies on the decomposition of the statistics into a `non-extreme core', typically Gaussian, and a heavy-tailed component. This decomposition is in full correspondence with a partition of the phase space into a `stable' region where we have no internal instabilities, and a region where non-linear instabilities lead to rare transitions with high probability. We quantify the statistics in the stable region using a Gaussian approximation approach, while the non-Gaussian distributions associated with the intermittently unstable regions of the phase space are inexpensively computed through order-reduction methods that take into account the strongly nonlinear character of the dynamics. The probabilistic information in the two domains is analytically synthesized through a total probability argument. The proposed approach allows for the accurate quantification of non-Gaussian tails at more than 10 standard deviations, at a fraction of the cost associated with the direct Monte-Carlo simulations. We demonstrate the probabilistic decomposition-synthesis method for rare events for two dynamical systems exhibiting extreme events: a two-degree-of-freedom system of nonlinearly coupled oscillators, and in a nonlinear envelope equation characterizing the propagation of unidirectional water waves.

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Cited in

(8)

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• A Primer on Noise-Induced Transitions in Applied Dynamical Systems
• Extreme events in dynamical systems and random walkers: a review
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