Uncertainty Quantification Overview

There's always uncertainty in our models. Whether it's in the form of the model's equations or in the model's parameters, the uncertainty in our simulation's output often needs to be quantified. The following tools automate this process.

For Measurements.jl vs MonteCarloMeasurements.jl vs Intervals.jl, and the relation to other methods, see the Uncertainty Programming chapter of the SciML Book.

PolyChaos.jl: Intrusive Polynomial Chaos Expansions Made Unintrusive

PolyChaos.jl is a library for calculating intrusive polynomial chaos expansions (PCE) on arbitrary Julia functions. This allows for inputing representations of probability distributions into functions to compute the output distribution in an expansion representation. While normally this would require deriving the PCE-expanded equations by hand, PolyChaos.jl does this at the compiler level using Julia's multiple dispatch, giving a high-performance implementation to a normally complex and tedious mathematical transformation.

DiffEqUncertainty.jl: Fast Calculations of Expectations of Equation Solutions

DiffEqUncertainty.jl is a library for accelerating the calculation of expectations of equation solutions with respect to input probability distributions, allowing for applications like robust optimization with respect to uncertainty. It uses Koopman operator techniques to calculate these expectations without requiring the propagation of uncertainties through a solver, effectively performing the adjoint of uncertainty quantification and being much more efficient in the process.

Additionally, DiffEqUncertainty.jl has the ProbInts method for generating stochastic equations to mimic the error distribution of an ODE solver in order to quantify with respect to numerical error.

Third Party Libraries to Note

Measurements.jl: Automated Linear Error Propagation

Measurements.jl is a library for automating linear error propagation. Uncertain numbers are defined as x = 3.8 ± 0.4 and are pushed through calculations using a normal distribution approximation in order to compute an approximate uncertain output. Measurements.jl uses a dictionary-based approach to keep track of correlations to improve the accuracy over naive implementations, though note that linear error propagation theory still has some major issues handling some types of equations as described in detail in the MonteCarloMeasurements.jl documentation.

MonteCarloMeasurements.jl: Automated Monte Carlo Error Propogation

MonteCarloMeasurements.jl is a library for automating the uncertainty quantification of equation solution using Monte Carlo methods. It defines number types which sample from an input distribution to receive a representative set of parameters that propagate through the solver to calculate a representative set of possible solutions. Note that Monte Carlo techniques can be expensive but are exact, in the sense that as the number of sample points increases to infinity it will compute a correct approximation of the output uncertainty.

ProbNumDiffEq.jl: Probabilstic Numerics Based Differential Equation Solvers

ProbNumDiffEq.jl is a a set of probabilistic numerical ODE solvers which compute the solution of a differential equation along with a posterior distribution to estimate its numerical approximation error. Thus these specialized integrators compute an uncertainty output similar to the ProbInts technique of DiffEqUncertainty, but use specialized integration techniques in order to do it much faster for specific kinds of equations.

TaylorIntegration.jl: Taylor Series Integration for Rigorous Numerical Bounds

TaylorIntegration.jl is a library for Taylor series integrators which has special functionality for computing the interval bound of possible solutions with respect to numerical approximation error.

IntervalArithmetic.jl: Rigorous Numerical Intervals

IntervalArithmetic.jl is a library for performing interval arithmetic calculations on arbitrary Julia code. Interval arithmetic computes rigorous computations with respect to finite-precision floating point arithmetic, i.e. its intervals are guarenteed to include the true solution. However, interval arithmetic intervals can grow at exponential rates in many problems, thus being unsuitable for analyses in many equation solver contexts.