Seminar: Probability Measures on Numerical Solutions of ODEs and PDEs for Uncertainty Quant. and Inference

SpeakerPatrick Conrad
AffiliationUniversity of Warwick
DateFriday, 08 May 2015
Time13:00 - 14:00
LocationRoberts G06 (Sir Ambrose Fleming lecture theatre)
Event seriesMicrosoft Research CSML Seminar Series

Deterministic ODE and PDE solvers are widely used, but characterizing the error in numerical solutions within a coherent statistical framework is challenging. We successfully address this problem by constructing a probability measure over functions consistent with the solution that provably contracts to a Dirac measure on the unique solution at rates determined by an underlying deterministic solver. The measure straightforwardly derives from important classes of numerical solvers and is illustrated on uncertainty quantification and inverse problems.

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