- Bayesian Anal.
- Advance publication (2020), 29 pages.
A Role for Symmetry in the Bayesian Solution of Differential Equations
The interpretation of numerical methods, such as finite difference methods for differential equations, as point estimators suggests that formal uncertainty quantification can also be performed in this context. Competing statistical paradigms can be considered and Bayesian probabilistic numerical methods (PNMs) are obtained when Bayesian statistical principles are deployed. Bayesian PNM have the appealing property of being closed under composition, such that uncertainty due to different sources of discretisation in a numerical method can be jointly modelled and rigorously propagated. Despite recent attention, no exact Bayesian PNM for the numerical solution of ordinary differential equations (ODEs) has been proposed. This raises the fundamental question of whether exact Bayesian methods for (in general nonlinear) ODEs even exist. The purpose of this paper is to provide a positive answer for a limited class of ODE. To this end, we work at a foundational level, where a novel Bayesian PNM is proposed as a proof-of-concept. Our proposal is a synthesis of classical Lie group methods, to exploit underlying symmetries in the gradient field, and non-parametric regression in a transformed solution space for the ODE. The procedure is presented in detail for first and second order ODEs and relies on a certain strong technical condition – existence of a solvable Lie algebra – being satisfied. Numerical illustrations are provided.
Bayesian Anal., Advance publication (2020), 29 pages.
First available in Project Euclid: 16 October 2019
Permanent link to this document
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Wang, Junyang; Cockayne, Jon; Oates, Chris. J. A Role for Symmetry in the Bayesian Solution of Differential Equations. Bayesian Anal., advance publication, 16 October 2019. doi:10.1214/19-BA1183. https://projecteuclid.org/euclid.ba/1571191351
- Supplementary material.