Quantifying model uncertainties in the space of probability measures

MaRDI QIDQ4925765zbMATH OpenFDO

Authors Ting Gao, Jinqiao Duan, Guowei He

Publication date 12 June 2013

Full work available at URL https://arxiv.org/abs/1204.0855

zbMATH Keywords

parameter estimationuncertaintynumerical simulationHellinger distanceprobability measuresstochastic differential equations (SDEs)stationary probability density

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Due to lack of scientific understanding, some mechanisms may be missing in mathematical modeling of complex phenomena in science and engineering. These mathematical models thus contain some uncertainties such as uncertain parameters. One method to estimate these parameters is based on pathwise observations, i.e., quantifying model uncertainty in the space of sample paths for system evolution. Another method is devised here to estimate uncertain parameters, or unknown system functions, based on experimental observations of probability distributions for system evolution. This is called the quantification of model uncertainties in the space of probability measures. A few examples are presented to demonstrate this method, analytically or numerically.

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(20)

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• Modeling Uncertainty and Nonlinearity by Probabilistic Metric Spaces
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• On Measuring Uncertainty of Benchmarked Predictors with Application to Disease Risk Estimate
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• Probabilistic model identification of uncertainties in computational models for dynamical systems and experimental validation
• Representing Model Inadequacy: A Stochastic Operator Approach
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• How to Gauge a Combination of Uncertainties of Different Type: General Foundations
• On Uncertainty Quantification for Models Involving Hysteresis Operators
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• Measuring, mapping, and uncertainty quantification in the space-time cube

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