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Brittleness and robustness of Bayesian inference for complex systems

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Auteurs : Sullivan, Tim (Auteur de la Conférence)
CIRM (Editeur )

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Résumé : 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).

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

    Informations sur la Vidéo

    Réalisateur : Hennenfent, Guillaume
    Langue : Anglais
    Date de publication : 27/11/14
    Date de captation : 20/11/14
    Sous collection : Research talks
    arXiv category : Statistics Theory ; Numerical Analysis ; Probability
    Domaine : Numerical Analysis & Scientific Computing ; PDE ; Probability & Statistics ; Mathematics in Science & Technology
    Format : MP4 (.mp4) - HD
    Durée : 01:01:19
    Audience : Researchers
    Download : https://videos.cirm-math.fr/2014-11-20_Sullivan.mp4

Informations sur la Rencontre

Nom de la rencontre : MoMaS Conference / Colloque MoMaS
Organisateurs de la rencontre : Allaire, Grégoire ; Cances, Clément ; Ern, Alexandre ; Herbin, Raphaèle ; Lelièvre, Tony
Dates : 17/11/14 - 20/11/14
Année de la rencontre : 2014
URL Congrès : https://www.cirm-math.fr/Archives/?EX=in...

Données de citation

DOI : 10.24350/CIRM.V.18632003
Citer cette vidéo: 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

Bibliographie

  • 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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