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  • 1
    Publication Date: 2021-10-28
    Description: This paper develops a class of meshless methods that are well-suited to statistical inverse problems involving partial differential equations (PDEs). The methods discussed in this paper view the forcing term in the PDE as a random field that induces a probability distribution over the residual error of a symmetric collocation method. This construction enables the solution of challenging inverse problems while accounting, in a rigorous way, for the impact of the discretisation of the forward problem. In particular, this confers robustness to failure of meshless methods, with statistical inferences driven to be more conservative in the presence of significant solver error. In addition, (i) a principled learning-theoretic approach to minimise the impact of solver error is developed, and (ii) the challenging setting of inverse problems with a non-linear forward model is considered. The method is applied to parameter inference problems in which non-negligible solver error must be accounted for in order to draw valid statistical conclusions.
    Language: English
    Type: reportzib , doc-type:preprint
    Format: application/pdf
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  • 2
    Publication Date: 2021-10-28
    Description: It is well understood that Bayesian decision theory and average case analysis are essentially identical. However, if one is interested in performing uncertainty quantification for a numerical task, it can be argued that the decision-theoretic framework is neither appropriate nor sufficient. To this end, we consider an alternative optimality criterion from Bayesian experimental design and study its implied optimal information in the numerical context. This information is demonstrated to differ, in general, from the information that would be used in an average-case-optimal numerical method. The explicit connection to Bayesian experimental design suggests several distinct regimes in which optimal probabilistic numerical methods can be developed.
    Language: English
    Type: incollection , doc-type:Other
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  • 3
    Publication Date: 2021-10-28
    Description: Over forty years ago average-case error was proposed in the applied mathematics literature as an alternative criterion with which to assess numerical methods. In contrast to worst-case error, this criterion relies on the construction of a probability measure over candidate numerical tasks, and numerical methods are assessed based on their average performance over those tasks with respect to the measure. This paper goes further and establishes Bayesian probabilistic numerical methods as solutions to certain inverse problems based upon the numerical task within the Bayesian framework. This allows us to establish general conditions under which Bayesian probabilistic numerical methods are well defined, encompassing both the non-linear and non-Gaussian context. For general computation, a numerical approximation scheme is proposed and its asymptotic convergence established. The theoretical development is extended to pipelines of computation, wherein probabilistic numerical methods are composed to solve more challenging numerical tasks. The contribution highlights an important research frontier at the interface of numerical analysis and uncertainty quantification, and a challenging industrial application is presented.
    Language: English
    Type: article , doc-type:article
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  • 4
    Publication Date: 2021-10-28
    Description: This paper develops meshless methods for probabilistically describing discretisation error in the numerical solution of partial differential equations. This construction enables the solution of Bayesian inverse problems while accounting for the impact of the discretisation of the forward problem. In particular, this drives statistical inferences to be more conservative in the presence of significant solver error. Theoretical results are presented describing rates of convergence for the posteriors in both the forward and inverse problems. This method is tested on a challenging inverse problem with a nonlinear forward model
    Language: English
    Type: conferenceobject , doc-type:conferenceObject
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  • 5
    Publication Date: 2021-10-28
    Description: This article attempts to place the emergence of probabilistic numerics as a mathematical-statistical research field within its historical context and to explore how its gradual development can be related to modern formal treatments and applications. We highlight in particular the parallel contributions of Sul'din and Larkin in the 1960s and how their pioneering early ideas have reached a degree of maturity in the intervening period, mediated by paradigms such as average-case analysis and information-based complexity. We provide a subjective assessment of the state of research in probabilistic numerics and highlight some difficulties to be addressed by future works.
    Language: English
    Type: article , doc-type:article
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  • 6
    Publication Date: 2021-10-28
    Language: English
    Type: article , doc-type:article
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  • 7
    Publication Date: 2021-10-28
    Language: English
    Type: article , doc-type:article
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