Bayesian Probabilistic Numerical Methods

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• Chris Oates - Newcastle Universtity
• Wednesday 29 November 2017, 14:00-15:00
• MR5 Centre for Mathematical Sciences.

If you have a question about this talk, please contact Rachel Furner.

In this talk, numerical computation – such as numerical solution of a PDE – will be treated as an 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 will then be extended to computational ``pipelines’’, through which a distributional quantification of numerical error can be propagated. A sufficient condition can be obtained 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. Full details are available in arXiv:1702.03673.

This talk is part of the CCIMI Seminars series.

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