Fourth-Order Comprehensive Adjoint Sensitivity Analysis (4th-CASAM) of Response-Coupled Linear Forward/Adjoint Systems: I. Theoretical Framework

Abstract

The most general quantities of interest (called “responses”) produced by the computational model of a linear physical system can depend on both the forward and adjoint state functions that describe the respective system. This work presents the Fourth-Order Comprehensive Adjoint Sensitivity Analysis Methodology (4th-CASAM) for linear systems, which enables the efficient computation of the exact expressions of the 1st-, 2nd-, 3rd- and 4th-order sensitivities of a generic system response, which can depend on both the forward and adjoint state functions, with respect to all of the parameters underlying the respective forward/adjoint systems. Among the best known such system responses are various Lagrangians, including the Schwinger and Roussopoulos functionals, for analyzing ratios of reaction rates, the Rayleigh quotient for analyzing eigenvalues and/or separation constants, etc., which require the simultaneous consideration of both the forward and adjoint systems when computing them and/or their sensitivities (i.e., functional derivatives) with respect to the model parameters. Evidently, such responses encompass, as particular cases, responses that may depend just on the forward or just on the adjoint state functions pertaining to the linear system under consideration. This work also compares the CPU-times needed by the 4th-CASAM versus other deterministic methods (e.g., finite-difference schemes) for computing response sensitivities These comparisons underscore the fact that the 4th-CASAM is the only practically implementable methodology for obtaining and subsequently computing the exact expressions (i.e., free of methodologically-introduced approximations) of the 1st-, 2nd, 3rd- and 4th-order sensitivities (i.e., functional derivatives) of responses to system parameters, for coupled forward/adjoint linear systems. By enabling the practical computation of any and all of the 1st-, 2nd, 3rd- and 4th-order response sensitivities to model parameters, the 4th-CASAM makes it possible to compare the relative values of the sensitivities of various order, in order to assess which sensitivities are important and which may actually be neglected, thus enabling future investigations of the convergence of the (multivariate) Taylor series expansion of the response in terms of parameter variations, as well as investigating the range of validity of other important quantities (e.g., response variances/covariance, skewness, kurtosis, etc.) that are derived from Taylor-expansion of the response as a function of the model’s parameters. The 4th-CASAM presented in this work provides the basis for significant future advances towards overcoming the “curse of dimensionality” in sensitivity analysis, uncertainty quantification and predictive modeling.