Tim Sullivan

Junior Professor in Applied Mathematics:
Risk and Uncertainty Quantification

Free University of Berlin

Stochastik I at FU Berlin

This semester, Winter Semester 2016–2017, I will be teaching the third-semester course Stochastik I for mathematics bachelors' degree students at the Free University of Berlin. Exercise sheets, announcements, etc. for this course will all be posted on this page, as well as on the official FU Berlin webpages such as KVV.

Published on Monday 17 October 2016 at 08:00 UTC #stochastik-1 #fu-berlin

Jon Cockayne

UQ Talks: Jon Cockayne

Next week Jon Cockayne (University of Warwick) will give a talk on “Probabilistic Numerics for Partial Differential Equations”.

Time and Place. Friday 14 October 2016, 12:00–13:00, ZIB Seminar Room 2006, Zuse Institute Berlin, Takustraße 7, 14195 Berlin

Abstract. Probabilistic numerics is an emerging field which constructs probability measures to capture uncertainty arising from the discretisation which is often necessary to solve complex problems numerically. We explore probabilistic numerical methods for Partial differential equations (PDEs). We phrase solution of PDEs as a statistical inference problem, and construct probability measures which quantify the epistemic uncertainty in the solution resulting from the discretisation [1].

We analyse these probability measures in the context of Bayesian inverse problems, parameter inference problems whose dynamics are often constrained by a system of PDEs. Sampling from parameter posteriors in such problems often involves replacing an exact likelihood with an approximate one, in which a numerical approximation is substituted for the true solution of the PDE. Such approximations have been shown to produce biased and overconfident posteriors when error in the forward solver is not tightly controlled. We show how the uncertainty from a probabilistic forward solver can be propagated into the parameter posteriors, thus permitting the use of coarser discretisations while still producing valid statistical inferences.

[1] Jon Cockayne, Chris Oates, Tim Sullivan, and Mark Girolami. “Probabilistic Meshless Methods for Partial Differential Equations and Bayesian Inverse Problems.” arXiv preprint, 2016. arXiv:1605.07811

Published on Monday 3 October 2016 at 10:00 UTC #event #uq-talk #prob-num

Cameron-Martin theorems for Cauchy-distributed random sequences

Preprint: Cameron-Martin theorems for Cauchy-distributed random sequences

Han Cheng Lie and I have just uploaded a preprint of our latest paper, on Cameron–Martin-type theorems for sequences of Cauchy-distributed random variables, to the arXiv. Inspired by questions of prior robustness left unanswered in this earlier paper on α-stable Banach space priors, this paper addresses the basic probabilistic question: when is an infinite-dimensional Cauchy distribution, e.g. on sequence space, mutually absolutely continuous with its image under a translation? In the Gaussian case, the celebrated Cameron–Martin theorem says that this equivalence of measures holds if a weighted \(\ell^{2}\) norm (the Cameron–Martin norm) of the translation vector is finite. We show that, in the Cauchy case, the same weighted version of the translation vector needs to lie in the sequence space \(\ell^{1} \cap \ell \log \ell\). More precisely, if the Cauchy distribution on the nth term of the sequence has width parameter \(\gamma_{n} > 0\), and the translation vector is the sequence \(\varepsilon = (\varepsilon_n)_{n = 1}^{\infty}\), then a sufficient condition for mutual absolute continuity is that

\( \displaystyle \sum_{n = 1}^{\infty} \left| \frac{\varepsilon_{n}}{\gamma_{n}} \right| < \infty \)

and, with the usual convention that \(0 \log 0 = 0\),

\( \displaystyle \sum_{n = 1}^{\infty} \left| \frac{\varepsilon_{n}}{\gamma_{n}} \log \left| \frac{\varepsilon_{n}}{\gamma_{n}} \right| \right| < \infty . \)

We also discuss similar results for dilation of the scale parameters, i.e. \(\gamma_{n} \mapsto \sigma_{n} \gamma_{n}\) for some real sequence \(\sigma = (\sigma_n)_{n = 1}^{\infty}\).

Published on Monday 15 August 2016 at 10:00 UTC #publication #preprint

Probabilistic Numerics at MCQMC

There will be a workshop on Probabilistic Numerics at this year's MCQMC conference at Stanford University. The workshop will be held on Thursday, 18 August 2016, 15:50–17:50, at the Li Ka Shing Center on the Stanford University campus. Speakers include:

  • Mark Girolami (University of Warwick & Alan Turing Institute) — Probabilistic Numerical Computation: A New Concept?
  • François-Xavier Briol (University of Warwick & University of Oxford) — Probabilistic Integration: A Role for Statisticians in Numerical Analysis?
  • Chris Oates (University of Technology Sydney) — Probabilistic Integration for Intractable Distributions
  • Jon Cockayne (University of Warwick) — Probabilistic meshless methods for partial differential equations and Bayesian inverse problems

Update, 19 August 2016. The slides from the talks can be found here, on Chris Oates' website.

Published on Sunday 31 July 2016 at 14:00 UTC #prob-num #event

Turing Lecture by Mark Girolami on Probabilistic Numerics

Last Friday 8 July 2016, as part of this year's Turing Lectures on The Intersection of Mathematics, Statistics and Computation, Mark Girolami gave a lecture on “Probabilistic Numerical Computation: A New Concept?”, containing some of our joint work on probabilistic numerics. The video can be found on the Alan Turing Institute's Youtube channel.

More →

Published on Tuesday 12 July 2016 at 12:00 UTC #video #talk #prob-num

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