Error Estimation and Uncertainty Quantification for First Time to a Threshold Value

Abstract: Classical a posteriori error analysis for differential equations quantifies the error in a Quantity of Interest (QoI) which is represented as a bounded linear functional of the solution. In this work we consider a posteriori error estimates of a quantity of interest that cannot be represented in this fashion, namely the time at which a threshold is crossed for the first time. We derive two representations for such errors and use an adjoint-based a posteriori approach to estimate unknown terms that appear in our representation. The first representation is based on linearizations using Taylor’s Theorem. The second representation is obtained by implementing standard root-finding techniques. We provide several examples which demonstrate the accuracy of the methods. We then embed these error estimates within a framework to provide error bounds on a cumulative distribution function when the parameters of the differential equations are uncertain.