Solving Stochastic Inverse Problems using Sigma-Algebras on Contour Maps (1407.3851v1)

Abstract: We compute approximate solutions to inverse problems for determining parameters in differential equation models with stochastic data on output quantities. The formulation of the problem and modeling framework define a solution as a probability measure on the parameter domain for a given $\sigma-$algebra. In the case where the number of output quantities is less than the number of parameters, the inverse of the map from parameters to data defines a type of generalized contour map. The approximate contour maps define a geometric structure on events in the $\sigma-$algebra for the parameter domain. We develop and analyze an inherently non-intrusive method of sampling the parameter domain and events in the given $\sigma-$algebra to approximate the probability measure. We use results from stochastic geometry for point processes to prove convergence of a random sample based approximation method. We define a numerical $\sigma-$algebra on which we compute probabilities and derive computable estimates for the error in the probability measure. We present numerical results to illustrate the various sources of error for a model of fluid flow past a cylinder.