Probabilistic Richardson extrapolation

Chris J. Oates

doi:10.1093/jrsssb/qkae098

Probabilistic Richardson extrapolation

2024-12-26

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DOI：10.1093/jrsssb/qkae098

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For over a century, extrapolation methods have provided a powerful tool to improve the convergence order of a numerical method. However, these tools are not well-suited to modern computer codes, where multiple continua are discretized and convergence orders are not easily analysed. To address this challenge, we present a probabilistic perspective on Richardson extrapolation, a point of view that unifies classical extrapolation methods with modern multi-fidelity modelling, and handles uncertain convergence orders by allowing these to be statistically estimated. The approach is developed using Gaussian processes, leading to Gauss-Richardson Extrapolation. Conditions are established under which extrapolation using the conditional mean achieves a polynomial (or even an exponential) speed-up compared to the original numerical method. Further, the probabilistic formulation unlocks the possibility of experimental design, casting the selection of fidelities as a continuous optimization problem, which can then be (approximately) solved. A case study involving a computational cardiac model demonstrates that practical gains in accuracy can be achieved using the GRE method.

Keywords:

Bayesian statistics

Gaussian process

multi-fidelity modelling

reproducing kernel

uncertainty quantification

Probabilistic Richardson extrapolation

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