Numerical approach for quantification of epistemic uncertainty

• Authors: John Jakeman;Michael Eldred;Dongbin Xiu
• Venue: Journal of Computational Physics
• Year: 2010

In the field of uncertainty quantification, uncertainty in the governing equations may assume two forms: aleatory uncertainty and epistemic uncertainty. Aleatory uncertainty can be characterised by known probability distributions whilst epistemic uncertainty arises from a lack of knowledge of probabilistic information. While extensive research efforts have been devoted to the numerical treatment of aleatory uncertainty, little attention has been given to the quantification of epistemic uncertainty. In this paper, we propose a numerical framework for quantification of epistemic uncertainty. The proposed methodology does not require any probabilistic information on uncertain input parameters. The method only necessitates an estimate of the range of the uncertain variables that encapsulates the true range of the input variables with overwhelming probability. To quantify the epistemic uncertainty, we solve an encapsulation problem, which is a solution to the original governing equations defined on the estimated range of the input variables. We discuss solution strategies for solving the encapsulation problem and the sufficient conditions under which the numerical solution can serve as a good estimator for capturing the effects of the epistemic uncertainty. In the case where probability distributions of the epistemic variables become known a posteriori, we can use the information to post-process the solution and evaluate solution statistics. Convergence results are also established for such cases, along with strategies for dealing with mixed aleatory and epistemic uncertainty. Several numerical examples are presented to demonstrate the procedure and properties of the proposed methodology.