Solving continuous models with dependent uncertainty: a computational approach
Summary: This paper presents a computational study on a quasi-Galerkin projection-based method to deal with a class of systems of random ordinary differential equations (r.o.d.e.'s) which is assumed to depend on a finite number of random variables (r.v.'s). This class of systems of r.o.d.e.'s appears in different areas, particularly in epidemiology modelling. In contrast with the other available Galerkin-based techniques, such as the generalized Polynomial Chaos, the proposed method expands the solution directly in terms of the random inputs rather than auxiliary r.v.'s. Theoretically, Galerkin projection-based methods take advantage of orthogonality with the aim of simplifying the involved computations when solving r.o.d.e.'s, which means to compute both the solution and its main statistical functions such as the expectation and the standard deviation. This approach requires the previous determination of an orthonormal basis which, in practice, could become computationally burden and, as a consequence, could ruin the method. Motivated by this fact, we present a technique to deal with r.o.d.e.'s that avoids constructing an orthogonal basis and keeps computationally competitive even assuming statistical dependence among the random input parameters. Through a wide range of examples, including a classical epidemiologic model, we show the ability of the method to solve r.o.d.e.'s.
- Stochastic Galerkin techniques for random ordinary differential equations
- Combining polynomial chaos expansions and the random variable transformation technique to approximate the density function of stochastic problems, including some epidemiological models
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- Computational uncertainty quantification for random time-discrete epidemiological models using adaptive gPC
- Probabilistic solution of random SI-type epidemiological models using the random variable transformation technique
- Epidemic models with random coefficients
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- Modeling epidemics caused by respiratory syncytial virus (RSV)
- Random coefficient differential models of growth of anaerobic photosynthetic bacteria
- Random differential equations in science and engineering
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- Computing the density function of complex models with randomness by using polynomial expansions and the RVT technique. Application to the SIR epidemic model
- Uncertainty quantification for random Hamiltonian systems by using polynomial expansions and geometric integrators
- Uncertainty quantification for nonlinear difference equations with dependent random inputs via a stochastic Galerkin projection technique
- Computational uncertainty quantification for random non-autonomous second order linear differential equations via adapted gPC: a comparative case study with random Fröbenius method and Monte Carlo simulation
- Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
- Is it worthwhile considering orthogonality in generalised polynomial chaos expansions applied to solving stochastic models?
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