arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1901.07553math.NAcs.NAmath.PR
收藏

求解随机反问题的附加信息规范

Specification of additional information for solving stochastic inverse problems

Wayne Isaac T. Uy, Mircea D. Grigoriu

摘要:

已经开发了从由随机向量$Z$的有界范围和概率密度函数或感兴趣的量$Q(Z)$的矩组成的信息中识别随机向量$Z$的概率分布的方法。从$Z$到$Q(Z)$的映射可以由其系数取决于$Z$的随机微分方程产生。这个问题不同于贝叶斯逆问题,因为后者主要是由观测噪声驱动的。我们激励这项工作,证明额外的信息$Z$需要恢复其真正的法律。我们的目标是确定$Z$上需要哪些额外的信息,并提出方法来恢复这些信息下的$Z$的法律。这些方法采用诸如贝叶斯定理、最大熵原理和前向不确定性量化的工具来获得与$Z$和$Q(Z)$上的信息一致的逆问题的解。关于$Z$的附加信息可以包括其矩或其分布族。我们证明我们的目标是通过考虑这个逆问题的解决方案的能力来预测未观察到的感兴趣的量的概率定律。

英文摘要:

Methods have been developed to identify the probability distribution of a random vector $Z$ from information consisting of its bounded range and the probability density function or moments of a quantity of interest, $Q(Z)$. The mapping from $Z$ to $Q(Z)$ may arise from a stochastic differential equation whose coefficients depend on $Z$. This problem differs from Bayesian inverse problems as the latter is primarily driven by observation noise. We motivate this work by demonstrating that additional information on $Z$ is required to recover its true law. Our objective is to identify what additional information on $Z$ is needed and propose methods to recover the law of $Z$ under such information. These methods employ tools such as Bayes' theorem, principle of maximum entropy, and forward uncertainty quantification to obtain solutions to the inverse problem that are consistent with information on $Z$ and $Q(Z)$. The additional information on $Z$ may include its moments or its family of distributions. We justify our objective by considering the capabilities of solutions to this inverse problem to predict the probability law of unobserved quantities of interest.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑