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Nonparametric uncertainty quantification for stochastic gradient flows. (English) Zbl 1339.60067

Summary: This paper presents a nonparametric statistical modeling method for quantifying uncertainty in stochastic gradient systems with isotropic diffusion. The central idea is to apply the diffusion maps algorithm to a training data set to produce a stochastic matrix whose generator is a discrete approximation to the backward Kolmogorov operator of the underlying dynamics. The eigenvectors of this stochastic matrix, which we will refer to as the diffusion coordinates, are discrete approximations to the eigenfunctions of the Kolmogorov operator and form an orthonormal basis for functions defined on the data set. Using this basis, we consider the projection of three uncertainty quantification (UQ) problems (prediction, filtering, and response) into the diffusion coordinates. In these coordinates, the nonlinear prediction and response problems reduce to solving systems of infinite-dimensional linear ordinary differential equations. Similarly, the continuous-time nonlinear filtering problem reduces to solving a system of infinite-dimensional linear stochastic differential equations. Solving the UQ problems then reduces to solving the corresponding truncated linear systems in finitely many diffusion coordinates. By solving these systems, we give a model-free algorithm for UQ on gradient flow systems with isotropic diffusion. We numerically verify these algorithms on a one-dimensional linear gradient flow system, where the analytic solutions of the UQ problems are known. We also apply the algorithm to a chaotically forced nonlinear gradient flow system which is known to be well approximated as a stochastically forced gradient flow.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60G25 Prediction theory (aspects of stochastic processes)
60G35 Signal detection and filtering (aspects of stochastic processes)
62M20 Inference from stochastic processes and prediction
60J60 Diffusion processes
93E11 Filtering in stochastic control theory
65C60 Computational problems in statistics (MSC2010)
82C31 Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

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