SAMSI Working Group on Probabilistic Numerics

Duration: Until May 31st 2018, as part of the Program on Quasi-Monte Carlo and High-Dimensional Sampling Methods for Applied Mathematics.

Group Leaders: Tim Sullivan and Chris Oates

Description: The accuracy and robustness of numerical predictions that are based on mathematical models depend critically upon the construction of accurate discrete approximations to key quantities of interest. The exact error due to approximation will be unknown to the analyst, but worst-case upper bounds can often be obtained. This working group aims, instead, to develop Probabilistic Numerical Methods, which provide the analyst with a richer, probabilistic quantification of the numerical error in their output, thus providing better tools for reliable statistical inference.

Research Topics:

  • Reference priors for the probabilistic solution of differential equations.
  • Heavy-tailed stable distributions for robust uncertainty quantification.
  • Statistical estimation with multi-resolution operator decompositions.
  • Probabilistic numerical methods as Bayesian inversion methods.

Group Members

Workshops and Visits

  • Summer 2017: F Schaefer to visit M Girolami and F-X Briol @ Alan Turing Institute and Imperial College London.
  • Autumn 2017: F-X Briol to visit H Owhadi, A Stuart and F Schaefer @ Caltech.
  • Spring 2018: Meeting of the working group at the Alan Turing Institute, London. Date to be announced.

Presentations:

Reading Group: (organised by F-X Briol)

  • 24-01-2017: Louis Ellam - A statistical model of urban retail structure.
  • 07-02-2017: Jon Cockayne - Discussion of "A probabilistic model for the numerical solution of initial value problems" by Schober et al.
  • 21-02-2017: Chris Oates - Discussion of "Probabilistic interpretation of linear solvers" by P. Hennig.
  • 07-03-2017: Francois-Xavier Briol - Discussion of "An introduction to sampling via measure transport" by Marzouk et al.
  • 21-03-2017: Tim Sullivan - Discussion of "MAP estimators and their consistency in Bayesian nonparametric inverse problems" by Dashti et al and "Maximum a posteriori probability estimates in infinite-dimensional Bayesian inverse problems", by Helin and Burger.
  • 04-04-2017: Han Cheng Lie - Discussion of "Why does Monte Carlo Fail to Work Properly in High-Dimensional Optimization Problems?", by Polyak and Shcherbakov.
  • 18-04-2017: Jon Cockayne - Linear Algebra for Probabilistic Numerics.
  • 02-05-2017: Louis Ellam - Pre-conditioned Ensemble Monte Carlo.
  • 16-05-2017: Onur Teymur - TBC.
  • 30-05-2017: Toni Karvonen - Discussion of "Fully symmetric kernel quadrature" by Karvonen and Särkkä
  • 13-06-2017: Chris Oates - TBC
  • 28-06-2017: Hans Kersting - TBC
  • 11-07-2017: Alessandro Barp - Information Geometry and applications to MCMC and measure transport.

Publications:

Barp A, Briol F-X, Kennedy A, Girolami M. (2018) Geometry and Dynamics for Markov Chain Monte Carlo. Annual Reviews of Statistics and its Applications, 5, to appear.

Lie HC, Stuart AM, Sullivan TJ (2017) Strong Convergence Rates of Probabilistic Integrators for Ordinary Differential Equations. [arXiv]

Cockayne J, Oates CJ, Sullivan T, Girolami M. (2017) Bayesian Probabilistic Numerical Methods. [arXiv]

Briol F-X, Cockayne J, Teymur, O. (2016) Contributed Discussion on Article by Chkrebtii, Campbell, Calderhead, and Girolami. Bayesian Analysis, 11(4):1285-1293. [Journal] [arXiv]