Uncertainty Quantification

  • type: Lecture (V)
  • chair: Zentrale Einrichtungen - Steinbuch Centre for Computing
    KIT-Fakultäten - KIT-Fakultät für Mathematik
    KIT-Fakultäten - KIT-Fakultät für Mathematik - Institut für Angewandte und Numerische Mathematik
  • semester: SS 2022
  • lecturer: Prof. Dr. Martin Frank
  • sws: 2
  • lv-no.: 0164400
  • information: Blended (On-Site/Online)

"There are known knowns; there are things we know we know. We also know there are known unknowns; that is to say we know there are some things we do not know. But there are also unknown unknowns – there are things we do not know we don’t know." (Donald Rumsfeld)

In this class, we learn to deal with the known unknowns, a field called Un- certainty Quantification (UQ). We particularly focus on the propagation of uncertainties (e.g. unknown data, unknown initial or boundary conditions) through models (mostly differential equations) and leave other important questions of UQ (especially inference) aside. Given uncertain input, how un- certain is the output? The uncertainties are modeled as random variables, and thus the solutions of the equations become random variables themselves.

Thus we summarize the necessary foundations of probability theory, with a focus on modeling correlated and uncorrelated random vectors. Further- more, we will see that every uncertain parameter becomes a dimension in the problem. We are thus quickly led to high-dimensional problems. Standard numerical methods suffer from the so-called curse of dimensionality, i.e. to reach a certain accuracy one needs excessively many model evaluations. Thus we study the fundamentals of approximation theory.

The first part of the course ("how to do it") gives an overview on techniques that are used. Among these are:

  • Sensitivity analysis
  • Monte-Carlo methods
  • Spectral expansions
  • Stochastic Galerkin method
  • Collocation methods, sparse grids

The second part of the course ("why to do it like this") deals with the theoretical foundations of these methods. The so-called "curse of dimensionality" leads us to questions from approximation theory. We look back at the very standard numerical algorithms of interpolation and quadrature, and ask how they perform in many dimensions.

Language of instructionEnglish
  • R.C. Smith: Uncertainty Quantification: Theory, Implementation, and Applications, SIAM, 2014.
  • T.J. Sullivan: Introduction to Uncertainty Quantification, Springer-Verlag, 2015.
  • D. Xiu: Numerical Methods for Stochastic Computations, Princeton University Press, 2010.
  • O.P. Le Maître, O.M. Knio: Spectral Methods for Uncertainty Quantification, Springer-Verlag, 2010.
  • R. Ghanem, D. Higdon, H. Owhadi:Handbook of Uncertainty Quantification, Springer-Verlag, 2017.
Organisational issues

The course will be offered in flipped classroom format. This means that the lectures will be made available as videos; students will also have lecture notes. We meet in presence for the tutorials, and there will also be office hours. The first meeting will be on April 25 in presence.