Probabilistic solvers for partial differential equations

Abstract: This work is concerned with the quantification of the epistemic uncertainties induced the discretization of partial differential equations. Following the paradigm of probabilistic numerics, we quantify this uncertainty probabilistically. Namely, we develop a probabilistic solver suitable for linear partial differential equations (PDE) with mixed (Dirichlet and Neumann) boundary conditions defined on arbitrary geometries. The idea is to assign a probability measure on the space of solutions of the PDE and then condition this measure by enforcing that the PDE and the boundary conditions are satisfied at a finite set of spatial locations. The resulting posterior probability measure quantifies our state of knowledge about the solution of the problem given this finite discretization.