Interval propagation

In numerical mathematics, interval propagation or interval constraint propagation is the problem of contracting interval domains associated to variables of R without removing any value that is consistent with a set of constraints (i.e., equations or inequalities). It can be used to propagate uncertainties in the situation where errors are represented by intervals.[1] Interval propagation considers an estimation problem as a constraint satisfaction problem.

Atomic contractors

A contractor associated to an equation involving the variables x1,...,xn is an operator which contracts the intervals [x1],..., [xn] (that are supposed to enclose the xi's) without removing any value for the variables that is consistent with the equation.

A contractor is said to be atomic if it is not built as a composition of other contractors. The main theory that is used to build atomic contractors are based on interval analysis.

Example. Consider for instance the equation

${\displaystyle x_{1}+x_{2}=x_{3},}$

which involves the three variables x1,x2 and x3.

The associated contractor is given by the following statements

${\displaystyle [x_{3}]:=[x_{3}]\cap ([x_{1}]+[x_{2}])}$
${\displaystyle [x_{1}]:=[x_{1}]\cap ([x_{3}]-[x_{2}])}$
${\displaystyle [x_{2}]:=[x_{2}]\cap ([x_{3}]-[x_{1}])}$

For instance, if

${\displaystyle x_{1}\in [-\infty ,5],}$
${\displaystyle x_{2}\in [-\infty ,4],}$
${\displaystyle x_{3}\in [6,\infty ]}$

the contractor performs the following calculus

${\displaystyle x_{3}=x_{1}+x_{2}\Rightarrow x_{3}\in [6,\infty ]\cap ([-\infty ,5]+[-\infty ,4])=[6,\infty ]\cap [-\infty ,9]=[6,9].}$
${\displaystyle x_{1}=x_{3}-x_{2}\Rightarrow x_{1}\in [-\infty ,5]\cap ([6,\infty ]-[-\infty ,4])=[-\infty ,5]\cap [2,\infty ]=[2,5].}$
${\displaystyle x_{2}=x_{3}-x_{1}\Rightarrow x_{2}\in [-\infty ,4]\cap ([6,\infty ]-[-\infty ,5])=[-\infty ,4]\cap [1,\infty ]=[1,4].}$
Figure 1: boxes before contraction
Figure 2: boxes after contraction

For other constraints, a specific algorithm for implementing the atomic contractor should be written. An illustration is the atomic contractor associated to the equation

${\displaystyle x_{2}=\sin(x_{1}),}$

is provided by Figures 1 and 2.

Decomposition

For more complex constraints, a decomposition into atomic constraints (i.e., constraints for which an atomic contractor exists) should be performed. Consider for instance the constraint

${\displaystyle x+\sin(xy)\leq 0,}$

could be decomposed into

${\displaystyle a=xy}$
${\displaystyle b=\sin(a)}$
${\displaystyle c=x+b.}$

The interval domains that should be associated to the new intermediate variables are

${\displaystyle a\in [-\infty ,\infty ],}$
${\displaystyle b\in [-1,1],}$
${\displaystyle c\in [-\infty ,0].}$

Propagation

The principle of the interval propagation is to call all available atomic contractors until no more contraction could be observed. [2] As a result of the Knaster-Tarski theorem, the procedure always converges to intervals which enclose all feasible values for the variables. A formalization of the interval propagation can be made thanks to the contractor algebra. Interval propagation converges quickly to the result and can deal with problems involving several hundred of variables. [3]

Example

Consider the electronic circuit of Figure 3.

Figure 3: File:Electronic circuit to illustrate the interval propagation

Assume that from different measurements, we know that

${\displaystyle E\in [23V,26V]}$
${\displaystyle I\in [4A,8A]}$
${\displaystyle U_{1}\in [10V,11V]}$
${\displaystyle U_{2}\in [14V,17V]}$
${\displaystyle P\in [124W,130W]}$
${\displaystyle R_{1}\in [0\Omega ,\infty [}$
${\displaystyle R_{2}\in [0\Omega ,\infty [.}$

From the circuit, we have the following equations

${\displaystyle P=EI}$
${\displaystyle U_{1}=R_{1}I}$
${\displaystyle U_{2}=R_{2}I}$
${\displaystyle E=U_{1}+U_{2}.}$

After performing the interval propagation, we get

${\displaystyle E\in [24V,26V]}$
${\displaystyle I\in [4.769A,5.417A]}$
${\displaystyle U_{1}\in [10V,11V]}$
${\displaystyle U_{2}\in [14V,16V]}$
${\displaystyle P\in [124W,130W]}$
${\displaystyle R_{1}\in [1.846\Omega ,2.307\Omega ]}$
${\displaystyle R_{2}\in [2.584\Omega ,3.355\Omega ].}$

References

1. ^ Jaulin, L.; Braems, I.; Walter, E. (2002). Interval methods for nonlinear identification and robust control (PDF). In Proceedings of the 41st IEEE Conference on Decision and Control (CDC).
2. ^ Cleary, J.L. (1987). Logical arithmetic. Future Computing Systems.
3. ^ Jaulin, L. (2006). Localization of an underwater robot using interval constraints propagation (PDF). In Proceedings of CP 2006.