In this paper we construct optimal, in certain sense, estimates of values of linear functionals on solutions to two-point boundary value problems (BVPs) for systems of linear first-order ordinary differential equation...In this paper we construct optimal, in certain sense, estimates of values of linear functionals on solutions to two-point boundary value problems (BVPs) for systems of linear first-order ordinary differential equations from observations which are linear transformations of the same solutions perturbed by additive random noises. It is assumed here that right-hand sides of equations and boundary data as well as statistical characteristics of random noises in observations are not known and belong to certain given sets in corresponding functional spaces. This leads to the necessity of introducing minimax statement of an estimation problem when optimal estimates are defined as linear, with respect to observations, estimates for which the maximum of mean square error of estimation taken over the above-mentioned sets attains minimal value. Such estimates are called minimax mean square or guaranteed estimates. We establish that the minimax mean square estimates are expressed via solutions of some systems of differential equations of special type and determine estimation errors.展开更多
This work presents the “Second-Order Comprehensive Adjoint Sensitivity Analysis Methodology (2<sup>nd</sup>-CASAM)” for the efficient and exact computation of 1<sup>st</sup>- and 2<sup>...This work presents the “Second-Order Comprehensive Adjoint Sensitivity Analysis Methodology (2<sup>nd</sup>-CASAM)” for the efficient and exact computation of 1<sup>st</sup>- and 2<sup>nd</sup>-order response sensitivities to uncertain parameters and domain boundaries of linear systems. The model’s response (<em>i.e.</em>, model result of interest) is a generic nonlinear function of the model’s forward and adjoint state functions, and also depends on the imprecisely known boundaries and model parameters. In the practically important particular case when the response is a scalar-valued functional of the forward and adjoint state functions characterizing a model comprising N parameters, the 2<sup>nd</sup>-CASAM requires a single large-scale computation using the First-Level Adjoint Sensitivity System (1<sup>st</sup>-LASS) for obtaining all of the first-order response sensitivities, and at most N large-scale computations using the Second-Level Adjoint Sensitivity System (2<sup>nd</sup>-LASS) for obtaining exactly all of the second-order response sensitivities. In contradistinction, forward other methods would require (<em>N</em>2/2 + 3 <em>N</em>/2) large-scale computations for obtaining all of the first- and second-order sensitivities. This work also shows that constructing and solving the 2<sup>nd</sup>-LASS requires very little additional effort beyond the construction of the 1<sup>st</sup>-LASS needed for computing the first-order sensitivities. Solving the equations underlying the 1<sup>st</sup>-LASS and 2<sup>nd</sup>-LASS requires the same computational solvers as needed for solving (<em>i.e.</em>, “inverting”) either the forward or the adjoint linear operators underlying the initial model. Therefore, the same computer software and “solvers” used for solving the original system of equations can also be used for solving the 1<sup>st</sup>-LASS and the 2<sup>nd</sup>-LASS. Since neither the 1<sup>st</sup>-LASS nor the 2<sup>nd</sup>-LASS involves any differentials of the operators underlying the original system, the 1<sup>st</sup>-LASS is designated as a “<u>first-level</u>” (as opposed to a “first-order”) adjoint sensitivity system, while the 2<sup>nd</sup>-LASS is designated as a “<u>second-level</u>” (rather than a “second-order”) adjoint sensitivity system. Mixed second-order response sensitivities involving boundary parameters may arise from all source terms of the 2<sup>nd</sup>-LASS that involve the imprecisely known boundary parameters. Notably, the 2<sup>nd</sup>-LASS encompasses an automatic, inherent, and independent “solution verification” mechanism of the correctness and accuracy of the 2nd-level adjoint functions needed for the efficient and exact computation of the second-order sensitivities.展开更多
This work presents the application of the recently developed “Fifth-Order Comprehensive Adjoint Sensitivity Analysis Methodology for Nonlinear Systems (5<sup>th</sup>-CASAM-N)” to a simplified Bernoulli ...This work presents the application of the recently developed “Fifth-Order Comprehensive Adjoint Sensitivity Analysis Methodology for Nonlinear Systems (5<sup>th</sup>-CASAM-N)” to a simplified Bernoulli model. The 5<sup>th</sup>-CASAM-N builds upon and incorporates all of the lower-order (i.e., the first-, second-, third-, and fourth-order) adjoint sensitivities analysis methodologies. The Bernoulli model comprises a nonlinear model response, uncertain model parameters, uncertain model domain boundaries and uncertain model boundary conditions, admitting closed-form explicit expressions for the response sensitivities of all orders. Illustrating the specific mechanisms and advantages of applying the 5<sup>th</sup>-CASAM-N for the computation of the response sensitivities with respect to the uncertain parameters and boundaries reveals that the 5<sup>th</sup>-CASAM-N provides a fundamental step towards overcoming the curse of dimensionality in sensitivity and uncertainty analysis.展开更多
文摘In this paper we construct optimal, in certain sense, estimates of values of linear functionals on solutions to two-point boundary value problems (BVPs) for systems of linear first-order ordinary differential equations from observations which are linear transformations of the same solutions perturbed by additive random noises. It is assumed here that right-hand sides of equations and boundary data as well as statistical characteristics of random noises in observations are not known and belong to certain given sets in corresponding functional spaces. This leads to the necessity of introducing minimax statement of an estimation problem when optimal estimates are defined as linear, with respect to observations, estimates for which the maximum of mean square error of estimation taken over the above-mentioned sets attains minimal value. Such estimates are called minimax mean square or guaranteed estimates. We establish that the minimax mean square estimates are expressed via solutions of some systems of differential equations of special type and determine estimation errors.
文摘This work presents the “Second-Order Comprehensive Adjoint Sensitivity Analysis Methodology (2<sup>nd</sup>-CASAM)” for the efficient and exact computation of 1<sup>st</sup>- and 2<sup>nd</sup>-order response sensitivities to uncertain parameters and domain boundaries of linear systems. The model’s response (<em>i.e.</em>, model result of interest) is a generic nonlinear function of the model’s forward and adjoint state functions, and also depends on the imprecisely known boundaries and model parameters. In the practically important particular case when the response is a scalar-valued functional of the forward and adjoint state functions characterizing a model comprising N parameters, the 2<sup>nd</sup>-CASAM requires a single large-scale computation using the First-Level Adjoint Sensitivity System (1<sup>st</sup>-LASS) for obtaining all of the first-order response sensitivities, and at most N large-scale computations using the Second-Level Adjoint Sensitivity System (2<sup>nd</sup>-LASS) for obtaining exactly all of the second-order response sensitivities. In contradistinction, forward other methods would require (<em>N</em>2/2 + 3 <em>N</em>/2) large-scale computations for obtaining all of the first- and second-order sensitivities. This work also shows that constructing and solving the 2<sup>nd</sup>-LASS requires very little additional effort beyond the construction of the 1<sup>st</sup>-LASS needed for computing the first-order sensitivities. Solving the equations underlying the 1<sup>st</sup>-LASS and 2<sup>nd</sup>-LASS requires the same computational solvers as needed for solving (<em>i.e.</em>, “inverting”) either the forward or the adjoint linear operators underlying the initial model. Therefore, the same computer software and “solvers” used for solving the original system of equations can also be used for solving the 1<sup>st</sup>-LASS and the 2<sup>nd</sup>-LASS. Since neither the 1<sup>st</sup>-LASS nor the 2<sup>nd</sup>-LASS involves any differentials of the operators underlying the original system, the 1<sup>st</sup>-LASS is designated as a “<u>first-level</u>” (as opposed to a “first-order”) adjoint sensitivity system, while the 2<sup>nd</sup>-LASS is designated as a “<u>second-level</u>” (rather than a “second-order”) adjoint sensitivity system. Mixed second-order response sensitivities involving boundary parameters may arise from all source terms of the 2<sup>nd</sup>-LASS that involve the imprecisely known boundary parameters. Notably, the 2<sup>nd</sup>-LASS encompasses an automatic, inherent, and independent “solution verification” mechanism of the correctness and accuracy of the 2nd-level adjoint functions needed for the efficient and exact computation of the second-order sensitivities.
文摘This work presents the application of the recently developed “Fifth-Order Comprehensive Adjoint Sensitivity Analysis Methodology for Nonlinear Systems (5<sup>th</sup>-CASAM-N)” to a simplified Bernoulli model. The 5<sup>th</sup>-CASAM-N builds upon and incorporates all of the lower-order (i.e., the first-, second-, third-, and fourth-order) adjoint sensitivities analysis methodologies. The Bernoulli model comprises a nonlinear model response, uncertain model parameters, uncertain model domain boundaries and uncertain model boundary conditions, admitting closed-form explicit expressions for the response sensitivities of all orders. Illustrating the specific mechanisms and advantages of applying the 5<sup>th</sup>-CASAM-N for the computation of the response sensitivities with respect to the uncertain parameters and boundaries reveals that the 5<sup>th</sup>-CASAM-N provides a fundamental step towards overcoming the curse of dimensionality in sensitivity and uncertainty analysis.
