Speaker |
Patrick Conrad |
|---|---|
Affiliation |
University of Warwick |
Date |
Friday, 08 May 2015 |
Time |
13:00-14:00 |
Location |
Zoom |
Link |
Roberts G06 (Sir Ambrose Fleming lecture theatre) |
Event series |
Jump Trading/ELLIS CSML Seminar Series |
Abstract |
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. |
Biography |