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Brittleness and robustness of Bayesian inference for complex systems

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Multi angle
Authors : Sullivan, Tim (Author of the conference)
CIRM (Publisher )

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Abstract : The flexibility of the Bayesian approach to uncertainty, and its notable practical successes, have made it an increasingly popular tool for uncertainty quantification. The scope of application has widened from the finite sample spaces considered by Bayes and Laplace to very high-dimensional systems, or even infinite-dimensional ones such as PDEs. It is natural to ask about the accuracy of Bayesian procedures from several perspectives: e.g., the frequentist questions of well-specification and consistency, or the numerical analysis questions of stability and well-posedness with respect to perturbations of the prior, the likelihood, or the data. This talk will outline positive and negative results (both classical ones from the literature and new ones due to the authors) on the accuracy of Bayesian inference. There will be a particular emphasis on the consequences for high- and infinite-dimensional complex systems. In particular, for such systems, subtle details of geometry and topology play a critical role in determining the accuracy or instability of Bayesian procedures. Joint with with Houman Owhadi and Clint Scovel (Caltech).

MSC Codes :
62F15 - Bayesian inference
62G35 - Robustness

    Information on the Video

    Film maker : Hennenfent, Guillaume
    Language : English
    Available date : 27/11/14
    Conference Date : 20/11/14
    Subseries : Research talks
    arXiv category : Statistics Theory ; Numerical Analysis ; Probability
    Mathematical Area(s) : Numerical Analysis & Scientific Computing ; PDE ; Probability & Statistics ; Mathematics in Science & Technology
    Format : MP4 (.mp4) - HD
    Video Time : 01:01:19
    Targeted Audience : Researchers
    Download : https://videos.cirm-math.fr/2014-11-20_Sullivan.mp4

Information on the Event

Event Title : MoMaS Conference / Colloque MoMaS
Event Organizers : Allaire, Grégoire ; Cances, Clément ; Ern, Alexandre ; Herbin, Raphaèle ; Lelièvre, Tony
Dates : 17/11/14 - 20/11/14
Event Year : 2014
Event URL : https://www.cirm-math.fr/Archives/?EX=in...

Citation Data

DOI : 10.24350/CIRM.V.18632003
Cite this video as: Sullivan, Tim (2014). Brittleness and robustness of Bayesian inference for complex systems. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.18632003
URI : http://dx.doi.org/10.24350/CIRM.V.18632003

Bibliography

  • Owhadi, H. & Scovel, C. Brittleness of Bayesian inference and new Selberg formulas. Preprint, 2014 - http://arxiv.org/abs/1304.7046

  • Owhadi, H., Scovel, C. & Sullivan, T.J. Bayesian brittleness. Preprint, 2014 - http://arxiv.org/abs/1304.6772

  • Owhadi, H., Scovel, C. & Sullivan, T.J. On the brittleness of Bayesian inference. Preprint, 2014 - http://arxiv.org/abs/1308.6306

  • Owhadi, H., Scovel, C., Sullivan, T.J., McKerns, M. & Ortiz, M. (2013). Optimal uncertainty quantification. SIAM Review, 55(2), 271-345 - http://dx.doi.org/10.1137/10080782X

  • Sullivan, T.J., McKerns, M., Meyer, D., Theil, F., Owhadi, H. & Ortiz, M. (2013). Optimal uncertainty quantification for legacy data observations of Lipschitz functions. ESAIM: Mathematical Modelling and Numerical Analysis, 47(6), 1657-1689 - http://dx.doi.org/10.1051/m2an/2013083



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