Bayesian Probabilistic Numerical Computation

Speaker: 

Chris Oates

Affiliation: 

University of Technology Sydney

Date: 

Fri, 24/03/2017 - 4:05pm

Venue: 

RC M032, The Red Centre, UNSW

Abstract: 

In this work, numerical computation such as numerical solution of a PDE is 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 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.
 
Full details are available in arXiv:1702.03673.

School Seminar Series: