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Bayesian probabilistic numerical methods

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  • UserTim Sullivan (Freie Universität Berlin; Konrad-Zuse-Zentrum für Informationstechnik Berlin)
  • ClockTuesday 10 April 2018, 15:00-16:00
  • HouseSeminar Room 1, Newton Institute.

If you have a question about this talk, please contact info@newton.ac.uk.

UNQW04 - UQ for inverse problems in complex systems

In this work, numerical computation – such as numerical solution of a PDE - is treated 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. The main technical consideration is that the data in this context are non-random and thus the standard Bayes' theorem does not hold. General conditions will be presented under which such Bayesian probabilistic numerical methods 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. This is joint work with Jon Cockayne, Chris Oates, and Mark Girolami. Further details are available in the preprint arXiv:1702.03673.

This talk is part of the Isaac Newton Institute Seminar Series series.

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