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Bayesian Probabilistic Numerical Methods

Presented by: 
Chris Oates Newcastle University
Date: 
Wednesday 10th January 2018 - 10:00 to 11:00
Venue: 
INI Seminar Room 1
Abstract: 
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 the classical numerical context. This approach to numerical computation opens the door to application of statistical techniques, and we discuss the relevance of decision theory and probabilistic graphical models in particular detail. The concepts will be briefly illustrated through numerical experiment.
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Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons