Abstract.

When propagating uncertainty in the data of differential equations, the probability laws describing the uncertainty are typically themselves subject to uncertainty. We present a sensitivity analysis of uncertainty propagation for differential equations with random inputs to perturbations of the input measures. We focus on the elliptic diffusion equation with random coefficient and source term, for which the probability measure of the solution random field is shown to be Lipschitz-continuous in both total variation and Wasserstein distance. The result generalizes to the solution map of any differential equation with locally Hölder dependence on input parameters. In addition, these results extend to Lipschitz-continuous quantities of interest of the solution as well as to coherent risk functionals of these applied to evaluate the impact of their uncertainty. Our analysis is based on the sensitivity of risk functionals and pushforward measures for locally Hölder mappings with respect to the Wasserstein distance of perturbed input distributions. The established results are applied, in particular, to the case of lognormal diffusion and the truncation of series representations of input random fields.

Keywords

  1. uncertainty propagation
  2. forward UQ
  3. risk measure
  4. risk functional
  5. Wasserstein distance
  6. total variation distance
  7. diffusion equation
  8. sensitivity
  9. robustness

MSC codes

  1. 91G70
  2. 35R60
  3. 60G15
  4. 60G60
  5. 62P35

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Information & Authors

Information

Published In

cover image SIAM/ASA Journal on Uncertainty Quantification
SIAM/ASA Journal on Uncertainty Quantification
Pages: 915 - 948
ISSN (online): 2166-2525

History

Submitted: 16 March 2020
Accepted: 10 February 2022
Published online: 16 August 2022

Keywords

  1. uncertainty propagation
  2. forward UQ
  3. risk measure
  4. risk functional
  5. Wasserstein distance
  6. total variation distance
  7. diffusion equation
  8. sensitivity
  9. robustness

MSC codes

  1. 91G70
  2. 35R60
  3. 60G15
  4. 60G60
  5. 62P35

Authors

Affiliations

Department of Mathematics, TU Chemnitz, Chemnitz, 09107, Germany ([email protected], [email protected]).
Alois Pichler
Department of Mathematics, TU Chemnitz, Chemnitz, 09107, Germany ([email protected], [email protected]).
Faculty of Mathematics and Computer Science, TU Bergakademie Freiberg, Freiberg, 09596, Germany ([email protected])

Funding Information

The work of the second author was supported by German Research Foundation (DFG) project 416228727-SFB1410.

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