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A time-stepping $L1$ scheme for solving a time fractional Fokker-Planck equation of order $\alpha \in (0, 1)$, with a general driving force, is investigated. A stability bound for the semi-discrete solution is obtained for $\alpha\in(1/2,1)$ {via a novel and concise approach.} Our stability estimate is $\alpha$-robust in the sense that it remains valid in the limiting case where $\alpha$ approaches $1$ (when the model reduces to the classical Fokker-Planck equation), a limit that presents practical importance. Concerning the error analysis, we obtain an optimal second-order accurate estimate for $\alpha\in(1/2,1)$. A time-graded mesh is used to compensate for the singular behavior of the continuous solution near the origin. The $L1$ scheme is associated with a standard spatial Galerkin finite element discretization to numerically support our theoretical contributions. We employ the resulting fully-discrete computable numerical scheme to perform some numerical tests. These tests suggest that the imposed time-graded meshes assumption could be further relaxed, and we observe second-order accuracy even for the case $\alpha\in(0,1/2]$, that is, outside the range covered by the theory.

We investigate the behavior of the time derivatives of the solution to a linear time-fractional, advection-diffusion-reaction equation, allowing space- and time-dependent coefficients as well as initial data that may have low regularity. Our focus is on proving estimates that are needed for the error analysis of numerical methods. The nonlocal nature of the fractional derivative creates substantial difficulties compared with the case of a classical parabolic PDE. In our analysis, we rely on novel energy methods in combination with a fractional Gronwall inequality and certain properties of fractional integrals., Comment: 22 pages, no figures. arXiv admin note: substantial text overlap with arXiv:1810.04836

Optimal dimensionality reduction methods are proposed for the Bayesian inference of a Gaussian linear model with additive noise in presence of overabundant data. Three different optimal projections of the observations are proposed based on information theory: the projection that minimizes the Kullback-Leibler divergence between the posterior distributions of the original and the projected models, the one that minimizes the expected Kullback-Leibler divergence between the same distributions, and the one that maximizes the mutual information between the parameter of interest and the projected observations. The first two optimization problems are formulated as the determination of an optimal subspace and therefore the solution is computed using Riemannian optimization algorithms on the Grassmann manifold. Regarding the maximization of the mutual information, it is shown that there exists an optimal subspace that minimizes the entropy of the posterior distribution of the reduced model; a basis of the subspace can be computed as the solution to a generalized eigenvalue problem; an a priori error estimate on the mutual information is available for this particular solution; and that the dimensionality of the subspace to exactly conserve the mutual information between the input and the output of the models is less than the number of parameters to be inferred. Numerical applications to linear and nonlinear models are used to assess the efficiency of the proposed approaches, and to highlight their advantages compared to standard approaches based on the principal component analysis of the observations.

Calibration of the uncertain Arrhenius diffusion parameters for quantifying mixing rates in Zr-Al nanolaminate foils was performed in a Bayesian setting [Vohra et al., 2014]. The parameters were inferred in a low temperature regime characterized by homogeneous ignition and a high temperature regime characterized by self-propagating reactions in the multilayers. In this work, we extend the analysis to find optimal experimental designs that would provide the best data for inference. We employ a rigorous framework that quantifies the expected in- formation gain in an experiment, and find the optimal design conditions using numerical techniques of Monte Carlo, sparse quadrature, and polynomial chaos surrogates. For the low temperature regime, we find the optimal foil heating rate and pulse duration, and confirm through simulation that the optimal design indeed leads to sharper posterior distributions of the diffusion parameters. For the high temperature regime, we demonstrate potential for increase in the expected information gain of the posteriors by increasing sample size and reducing uncertainty in measurements. Moreover, posterior marginals are also produced to verify favorable experimental scenarios for this regime.

An efficient method for inferring Manning's $n$ coefficients using water surface elevation data was presented in Sraj et al. (2014) focusing on a test case based on data collected during the $T\=ohoku$ earthquake and tsunami. Polynomial chaos expansions were used to build an inexpensive surrogate for the numerical model Geoclaw, which were then used to perform a sensitivity analysis in addition to the inversion. In this paper, a new analysis is performed with the goal of inferring the fault slip distribution of the $T\=ohoku$ earthquake using a similar problem setup. The same approach to constructing the PC surrogate did not lead to a converging expansion, however an alternative approach based on Basis-Pursuit DeNoising was found to be suitable. Our result shows that the fault slip distribution can be inferred using water surface elevation data whereas the inferred values minimizes the error between observations and the numerical model. The numerical approach and the resulting inversion are presented in this work.

This work focuses on the simulation of $CO_2$ storage in deep underground formations under uncertainty and seeks to understand the impact of uncertainties in reservoir properties on $CO_2$ leakage. To simulate the process, a non-isothermal two-phase two-component flow system with equilibrium phase exchange is used. Since model evaluations are computationally intensive, instead of traditional Monte Carlo methods, we rely on polynomial chaos (PC) expansions for representation of the stochastic model response. A non-intrusive approach is used to determine the PC coefficients. We establish the accuracy of the PC representations within a reasonable error threshold through systematic convergence studies. In addition to characterizing the distributions of model observables, we compute probabilities of excess $CO_2$ leakage. Moreover, we consider the injection rate as a design parameter and compute an optimum injection rate that ensures that the risk of excess pressure buildup at the leaky well remains below acceptable levels. We also provide a comprehensive analysis of sensitivities of $CO_2$ leakage, where we compute the contributions of the random parameters, and their interactions, to the variance by computing first, second, and total order Sobol' indices., Comment: 25 pages; fixed a minor latex issue, and added biblio info

The authors present a Polynomial Chaos (PC)-based Bayesian inference method for quantifying the uncertainties of the K-Profile Parametrization (KPP) within the MIT General Circulation Model (MITgcm) of the tropical pacific. The inference of the uncertain parameters is based on a Markov Chain Monte Carlo (MCMC) scheme that utilizes a newly formulated test statistic taking into account the different components representing the structures of turbulent mixing on both daily and seasonal timescales in addition to the data quality, and filters for the effects of parameter perturbations over those due to changes in the wind. To avoid the prohibitive computational cost of integrating the MITgcm model at each MCMC iteration, we build a surrogate model for the test statistic using the PC method. To filter out the noise in the model predictions and avoid related convergence issues, we resort to a Basis-Pursuit-DeNoising (BPDN) compressed sensing approach to determine the PC coefficients of a representative surrogate model. The PC surrogate is then used to evaluate the test statistic in the MCMC step for sampling the posterior of the uncertain parameters. Results of the posteriors indicate good agreement with the default values for two parameters of the KPP model namely the critical bulk and gradient Richardson numbers; while the posteriors of the remaining parameters were barely informative.

This paper addresses model dimensionality reduction for Bayesian inference based on prior Gaussian fields with uncertainty in the covariance function hyper-parameters. The dimensionality reduction is traditionally achieved using the Karhunen-\Loeve expansion of a prior Gaussian process assuming covariance function with fixed hyper-parameters, despite the fact that these are uncertain in nature. The posterior distribution of the Karhunen-Lo\`{e}ve coordinates is then inferred using available observations. The resulting inferred field is therefore dependent on the assumed hyper-parameters. Here, we seek to efficiently estimate both the field and covariance hyper-parameters using Bayesian inference. To this end, a generalized Karhunen-Lo\`{e}ve expansion is derived using a coordinate transformation to account for the dependence with respect to the covariance hyper-parameters. Polynomial Chaos expansions are employed for the acceleration of the Bayesian inference using similar coordinate transformations, enabling us to avoid expanding explicitly the solution dependence on the uncertain hyper-parameters. We demonstrate the feasibility of the proposed method on a transient diffusion equation by inferring spatially-varying log-diffusivity fields from noisy data. The inferred profiles were found closer to the true profiles when including the hyper-parameters' uncertainty in the inference formulation., Comment: 34 pages, 17 figures