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2021 Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis
Shanyin Tong, Eric Vanden-Eijnden, Georg Stadler
Commun. Appl. Math. Comput. Sci. 16(2): 181-225 (2021). DOI: 10.2140/camcos.2021.16.181


We propose and compare methods for the analysis of extreme events in complex systems governed by PDEs that involve random parameters, in situations where we are interested in quantifying the probability that a scalar function of the system’s solution is above a threshold. If the threshold is large, this probability is small and its accurate estimation is challenging. To tackle this difficulty, we blend theoretical results from large deviation theory (LDT) with numerical tools from PDE-constrained optimization. Our methods first compute parameters that minimize the LDT-rate function over the set of parameters leading to extreme events, using adjoint methods to compute the gradient of this rate function. The minimizers give information about the mechanism of the extreme events as well as estimates of their probability. We then propose a series of methods to refine these estimates, either via importance sampling or geometric approximation of the extreme event sets. Results are formulated for general parameter distributions and detailed expressions are provided for Gaussian distributions. We give theoretical and numerical arguments showing that the performance of our methods is insensitive to the extremeness of the events we are interested in. We illustrate the application of our approach to quantify the probability of extreme tsunami events on shore. Tsunamis are typically caused by a sudden, unpredictable change of the ocean floor elevation during an earthquake. We model this change as a random process, which takes into account the underlying physics. We use the one-dimensional shallow water equation to model tsunamis numerically. In the context of this example, we present a comparison of our methods for extreme event probability estimation, and find which type of ocean floor elevation change leads to the largest tsunamis on shore.


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Shanyin Tong. Eric Vanden-Eijnden. Georg Stadler. "Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis." Commun. Appl. Math. Comput. Sci. 16 (2) 181 - 225, 2021.


Received: 28 July 2020; Revised: 14 March 2021; Accepted: 17 June 2021; Published: 2021
First available in Project Euclid: 29 March 2022

Digital Object Identifier: 10.2140/camcos.2021.16.181

Primary: 35Q93 , 60F10 , 60H35 , 65K10 , 76B15

Keywords: extreme events , large deviation theory , PDE-constrained optimization , probability estimation , tsunamis

Rights: Copyright © 2021 Mathematical Sciences Publishers


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Vol.16 • No. 2 • 2021
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