Density estimation for elliptic PDE with random input by preintegration and quasi-Monte Carlo methods
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| Format: | Preprint |
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2024
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| author | Gilbert, Alexander D. Kuo, Frances Y. Srikumar, Abirami |
| author_facet | Gilbert, Alexander D. Kuo, Frances Y. Srikumar, Abirami |
| contents | In this paper, we apply quasi-Monte Carlo (QMC) methods with an initial preintegration step to estimate cumulative distribution functions and probability density functions in uncertainty quantification (UQ). The distribution and density functions correspond to a quantity of interest involving the solution to an elliptic partial differential equation (PDE) with a lognormally distributed coefficient and a normally distributed source term. There is extensive previous work on using QMC to compute expected values in UQ, which have proven very successful in tackling a range of different PDE problems. However, the use of QMC for density estimation applied to UQ problems will be explored here for the first time. Density estimation presents a more difficult challenge compared to computing the expected value due to discontinuities present in the integral formulations of both the distribution and density. Our strategy is to use preintegration to eliminate the discontinuity by integrating out a carefully selected random parameter, so that QMC can be used to approximate the remaining integral. First, we establish regularity results for the PDE quantity of interest that are required for smoothing by preintegration to be effective. We then show that an $N$-point lattice rule can be constructed for the integrands corresponding to the distribution and density, such that after preintegration the QMC error is of order $\mathcal{O}(N^{-1+ε})$ for arbitrarily small $ε>0$. This is the same rate achieved for computing the expected value of the quantity of interest. Numerical results are presented to reaffirm our theory. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2402_11807 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Density estimation for elliptic PDE with random input by preintegration and quasi-Monte Carlo methods Gilbert, Alexander D. Kuo, Frances Y. Srikumar, Abirami Numerical Analysis 65D30, 65D32, 35J25, 62G07 In this paper, we apply quasi-Monte Carlo (QMC) methods with an initial preintegration step to estimate cumulative distribution functions and probability density functions in uncertainty quantification (UQ). The distribution and density functions correspond to a quantity of interest involving the solution to an elliptic partial differential equation (PDE) with a lognormally distributed coefficient and a normally distributed source term. There is extensive previous work on using QMC to compute expected values in UQ, which have proven very successful in tackling a range of different PDE problems. However, the use of QMC for density estimation applied to UQ problems will be explored here for the first time. Density estimation presents a more difficult challenge compared to computing the expected value due to discontinuities present in the integral formulations of both the distribution and density. Our strategy is to use preintegration to eliminate the discontinuity by integrating out a carefully selected random parameter, so that QMC can be used to approximate the remaining integral. First, we establish regularity results for the PDE quantity of interest that are required for smoothing by preintegration to be effective. We then show that an $N$-point lattice rule can be constructed for the integrands corresponding to the distribution and density, such that after preintegration the QMC error is of order $\mathcal{O}(N^{-1+ε})$ for arbitrarily small $ε>0$. This is the same rate achieved for computing the expected value of the quantity of interest. Numerical results are presented to reaffirm our theory. |
| title | Density estimation for elliptic PDE with random input by preintegration and quasi-Monte Carlo methods |
| topic | Numerical Analysis 65D30, 65D32, 35J25, 62G07 |
| url | https://arxiv.org/abs/2402.11807 |