4,009 research outputs found
Strong convergence rates of probabilistic integrators for ordinary differential equations
Probabilistic integration of a continuous dynamical system is a way of
systematically introducing model error, at scales no larger than errors
introduced by standard numerical discretisation, in order to enable thorough
exploration of possible responses of the system to inputs. It is thus a
potentially useful approach in a number of applications such as forward
uncertainty quantification, inverse problems, and data assimilation. We extend
the convergence analysis of probabilistic integrators for deterministic
ordinary differential equations, as proposed by Conrad et al.\ (\textit{Stat.\
Comput.}, 2017), to establish mean-square convergence in the uniform norm on
discrete- or continuous-time solutions under relaxed regularity assumptions on
the driving vector fields and their induced flows. Specifically, we show that
randomised high-order integrators for globally Lipschitz flows and randomised
Euler integrators for dissipative vector fields with polynomially-bounded local
Lipschitz constants all have the same mean-square convergence rate as their
deterministic counterparts, provided that the variance of the integration noise
is not of higher order than the corresponding deterministic integrator. These
and similar results are proven for probabilistic integrators where the random
perturbations may be state-dependent, non-Gaussian, or non-centred random
variables.Comment: 25 page
Analysis of the 3DVAR Filter for the Partially Observed Lorenz '63 Model
The problem of effectively combining data with a mathematical model
constitutes a major challenge in applied mathematics. It is particular
challenging for high-dimensional dynamical systems where data is received
sequentially in time and the objective is to estimate the system state in an
on-line fashion; this situation arises, for example, in weather forecasting.
The sequential particle filter is then impractical and ad hoc filters, which
employ some form of Gaussian approximation, are widely used. Prototypical of
these ad hoc filters is the 3DVAR method. The goal of this paper is to analyze
the 3DVAR method, using the Lorenz '63 model to exemplify the key ideas. The
situation where the data is partial and noisy is studied, and both discrete
time and continuous time data streams are considered. The theory demonstrates
how the widely used technique of variance inflation acts to stabilize the
filter, and hence leads to asymptotic accuracy
Structure Learning in Coupled Dynamical Systems and Dynamic Causal Modelling
Identifying a coupled dynamical system out of many plausible candidates, each
of which could serve as the underlying generator of some observed measurements,
is a profoundly ill posed problem that commonly arises when modelling real
world phenomena. In this review, we detail a set of statistical procedures for
inferring the structure of nonlinear coupled dynamical systems (structure
learning), which has proved useful in neuroscience research. A key focus here
is the comparison of competing models of (ie, hypotheses about) network
architectures and implicit coupling functions in terms of their Bayesian model
evidence. These methods are collectively referred to as dynamical casual
modelling (DCM). We focus on a relatively new approach that is proving
remarkably useful; namely, Bayesian model reduction (BMR), which enables rapid
evaluation and comparison of models that differ in their network architecture.
We illustrate the usefulness of these techniques through modelling
neurovascular coupling (cellular pathways linking neuronal and vascular
systems), whose function is an active focus of research in neurobiology and the
imaging of coupled neuronal systems
Reachability in Biochemical Dynamical Systems by Quantitative Discrete Approximation (extended abstract)
In this paper, a novel computational technique for finite discrete
approximation of continuous dynamical systems suitable for a significant class
of biochemical dynamical systems is introduced. The method is parameterized in
order to affect the imposed level of approximation provided that with
increasing parameter value the approximation converges to the original
continuous system. By employing this approximation technique, we present
algorithms solving the reachability problem for biochemical dynamical systems.
The presented method and algorithms are evaluated on several exemplary
biological models and on a real case study.Comment: In Proceedings CompMod 2011, arXiv:1109.104
Adaptive finite element method assisted by stochastic simulation of chemical systems
Stochastic models of chemical systems are often analysed by solving the corresponding\ud
Fokker-Planck equation which is a drift-diffusion partial differential equation for the probability\ud
distribution function. Efficient numerical solution of the Fokker-Planck equation requires adaptive mesh refinements. In this paper, we present a mesh refinement approach which makes use of a stochastic simulation of the underlying chemical system. By observing the stochastic trajectory for a relatively short amount of time, the areas of the state space with non-negligible probability density are identified. By refining the finite element mesh in these areas, and coarsening elsewhere, a suitable mesh is constructed and used for the computation of the probability density
Final Report of the DAUFIN project
DAUFIN = Data Assimulation within Unifying Framework for Improved river basiN modeling (EC 5th framework Project
On the use of simple dynamical systems for climate predictions: A Bayesian prediction of the next glacial inception
Over the last few decades, climate scientists have devoted much effort to the
development of large numerical models of the atmosphere and the ocean. While
there is no question that such models provide important and useful information
on complicated aspects of atmosphere and ocean dynamics, skillful prediction
also requires a phenomenological approach, particularly for very slow
processes, such as glacial-interglacial cycles. Phenomenological models are
often represented as low-order dynamical systems. These are tractable, and a
rich source of insights about climate dynamics, but they also ignore large
bodies of information on the climate system, and their parameters are generally
not operationally defined. Consequently, if they are to be used to predict
actual climate system behaviour, then we must take very careful account of the
uncertainty introduced by their limitations. In this paper we consider the
problem of the timing of the next glacial inception, about which there is
on-going debate. Our model is the three-dimensional stochastic system of
Saltzman and Maasch (1991), and our inference takes place within a Bayesian
framework that allows both for the limitations of the model as a description of
the propagation of the climate state vector, and for parametric uncertainty.
Our inference takes the form of a data assimilation with unknown static
parameters, which we perform with a variant on a Sequential Monte Carlo
technique (`particle filter'). Provisional results indicate peak glacial
conditions in 60,000 years.Comment: superseeds the arXiv:0809.0632 (which was published in European
Reviews). The Bayesian section has been significantly expanded. The present
version has gone scientific peer review and has been published in European
Physics Special Topics. (typo in DOI and in Table 1 (psi -> theta) corrected
on 25th August 2009
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