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