StochastikKolloquium Bayesian Probabilistic Numerical Methods |
Vortragende Person:Prof. Dr. Tim Sullivan, Freie Universität Berlin/Zuse-Institut Berlin
Veranstalter:Institut für Mathematische Stochastik
Beschreibung:
Numerical computation --- such as numerical solution of a PDE --- can modelled as a statistical inverse problem in its own right. The popular Bayesian approach to inversion is considered, wherein a posterior distribution is induced over the object of interest by conditioning a prior distribution on the same finite information that would be used in a classical numerical method, thereby restricting attention to a meaningful subclass of probabilistic numerical methods distinct from classical average-case analysis and information-based complexity. The main technical consideration here is that the data are non-random and thus the standard Bayes' theorem does not hold. General conditions will be presented under which numerical methods based upon such Bayesian probabilistic foundations are well-posed, and a sequential Monte-Carlo method will be shown to provide consistent estimation of the posterior. The paradigm is extended to computational ''pipelines'', through which a distributional quantification of numerical error can be propagated. A sufficient condition is presented for when such propagation can be endowed with a globally coherent Bayesian interpretation, based on a novel class of probabilistic graphical models designed to represent a computational work-flow. The concepts are illustrated through explicit numerical experiments involving both linear and non-linear PDE models.
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Veranstaltungsart:Kolloquium
Veranstaltungssprache:Englisch
Kategorie:Forschung
Name der einladenden Person:Dozenten des Instituts für Mathematische Stochastik
Externer Link:http://www.stochastik.math.uni-goettingen.de/
Zusätzliche Informationen:PDF-Anhang herunterladen
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Direkter Link zur Veranstaltung:https://events.goettingen-campus.de/event?eventId=12845
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