Lagrangian uncertainty quantification and information inequalities for stochastic flows

Michal Branicki, Kenneth Uda

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

We develop a systematic information-theoretic framework for quantification and mitigation of error in probabilistic Lagrangian (i.e., path-based) predictions which are obtained from dynamical systems generated by uncertain (Eulerian) vector fields. This work is motivated by the desire to improve Lagrangian predictions in complex dynamical systems based either on analytically simplified or datadriven models. We derive a hierarchy of general information bounds on uncertainty in estimates of statistical observables E [f], evaluated on trajectories of the approximating dynamical system, relative to the "true"" observables Eμ [f] in terms of certain divergences, (μ | ), which quantify discrepancies between probability measures μ associated with the original dynamics and their approximations . We then derive two distinct bounds on D (μ) itself in terms of the Eulerian fields.

Original languageEnglish
Pages (from-to)1242-1313
Number of pages72
JournalSIAM-ASA Journal on Uncertainty Quantification
Issue number3
Publication statusPublished - 16 Sept 2021

Keywords / Materials (for Non-textual outputs)

  • Expansion rates
  • Information geometry
  • Information inequalities
  • Information theory
  • Lagrangian uncertainty quantification (LUQ)
  • Stochastic flows
  • \varphi -divergence


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