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

Variational data assimilation using targetted random walks

The variational approach to data assimilation is a widely used methodology for both online prediction and for reanalysis (offline hindcasting). In either of these scenarios it can be important to assess uncertainties in the assimilated state. Ideally it would be desirable to have complete information concerning the Bayesian posterior distribution for unknown state, given data. The purpose of this paper is to show that complete computational probing of this posterior distribution is now within reach in the offline situation. In this paper we will introduce an MCMC method which enables us to directly sample from the Bayesian\ud posterior distribution on the unknown functions of interest, given observations. Since we are aware that these\ud methods are currently too computationally expensive to consider using in an online filtering scenario, we frame this in the context of offline reanalysis. Using a simple random walk-type MCMC method, we are able to characterize the posterior distribution using only evaluations of the forward model of the problem, and of the model and data mismatch. No adjoint model is required for the method we use; however more sophisticated MCMC methods are available\ud which do exploit derivative information. For simplicity of exposition we consider the problem of assimilating data, either Eulerian or Lagrangian, into a low Reynolds number (Stokes flow) scenario in a two dimensional periodic geometry. We will show that in many cases it is possible to recover the initial condition and model error (which we describe as unknown forcing to the model) from data, and that with increasing amounts of informative data, the uncertainty in our estimations reduces

Data Assimilation: A Mathematical Introduction

These notes provide a systematic mathematical treatment of the subject of data assimilation

The Global Dynamics of Discrete Semilinear Parabolic Equations

A class of scalar semilinear parabolic equations possessing absorbing sets, a Lyapunov functional, and a global attractor are considered. The gradient structure of the problem implies that, provided all steady states are isolated, solutions approach a steady state as $t \to \infty$. The dynamical properties of various finite difference and finite element schemes for the equations are analysed. The existence of absorbing sets, bounded independently of the mesh size, is proved for the numerical methods. Discrete Lyapunov functions are constructed to show that, under appropriate conditions on the mesh parameters, numerical orbits approach steady state solutions as discrete time increases. However, it is shown that insufficient spatial resolution can introduce deceptively smooth spurious steady solutions and cause the stability properties of the true steady solutions to be incorrectly represented. Furthermore, it is also shown that the explicit Euler scheme introduces spurious solutions with period 2 in the timestep. As a result, the absorbing set is destroyed and there is initial data leading to blow up of the scheme, however small the mesh parameters are taken. To obtain stabilization to a steady state for this scheme, it is necessary to restrict the timestep in terms of the initial data and the space step. Implicit schemes are constructed for which absorbing sets and Lyapunov functions exist under restrictions on the timestep that are independent of initial data and of the space step; both one-step and multistep (BDF) methods are studied

Convergence Analysis of the Ensemble Kalman Filter for Inverse Problems: the Noisy Case

We present an analysis of the ensemble Kalman filter for inverse problems based on the continuous time limit of the algorithm. The analysis of the dynamical behaviour of the ensemble allows to establish well-posedness and convergence results for a fixed ensemble size. We will build on the results presented in [Schillings, Stuart 2017] and generalise them to the case of noisy observational data, in particular the influence of the noise on the convergence will be investigated, both theoretically and numerically

Differential Rotation in Neutron Stars: Magnetic Braking and Viscous Damping

Diffferentially rotating stars can support significantly more mass in equilibrium than nonrotating or uniformly rotating stars, according to general relativity. The remnant of a binary neutron star merger may give rise to such a ``hypermassive'' object. While such a star may be dynamically stable against gravitational collapse and bar formation, the radial stabilization due to differential rotation is likely to be temporary. Magnetic braking and viscosity combine to drive the star to uniform rotation, even if the seed magnetic field and the viscosity are small. This process inevitably leads to delayed collapse, which will be accompanied by a delayed gravitational wave burst and, possibly, a gamma-ray burst. We provide a simple, Newtonian, MHD calculation of the braking of differential rotation by magnetic fields and viscosity. The star is idealized as a differentially rotating, infinite cylinder consisting of a homogeneous, incompressible conducting gas. We solve analytically the simplest case in which the gas has no viscosity and the star resides in an exterior vacuum. We treat numerically cases in which the gas has internal viscosity and the star is embedded in an exterior, low-density, conducting medium. Our evolution calculations are presented to stimulate more realistic MHD simulations in full 3+1 general relativity. They serve to identify some of the key physical and numerical parameters, scaling behavior and competing timescales that characterize this important process.Comment: 11 pages. To appear in ApJ (November 20, 2000

Overcoming the false-minima problem in direct methods: Structure determination of the packaging enzyme P4 from bacteriophage φ13

The problems encountered during the phasing and structure determination of the packaging enzyme P4 from bacteriophage φ13 using the anomalous signal from selenium in a single-wavelength anomalous dispersion experiment (SAD) are described. The oligomeric state of P4 in the virus is a hexamer (with sixfold rotational symmetry) and it crystallizes in space group C2, with four hexamers in the crystallographic asymmetric unit. Current state-of-the-art ab initio phasing software yielded solutions consisting of 96 atoms arranged as sixfold symmetric clusters of Se atoms. However, although these solutions showed high correlation coefficients indicative that the substructure had been solved, the resulting phases produced uninterpretable electron-density maps. Only after further analysis were correct solutions found (also of 96 atoms), leading to the eventual identification of the positions of 120 Se atoms. Here, it is demonstrated how the difficulties in finding a correct phase solution arise from an intricate false-minima problem. © 2005 International Union of Crystallography - all rights reserved