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probabilistic numerics and uncertainty in computations

June 10, 2015

“We deliver a call to arms for probabilistic numerical methods: algorithms for numerical tasks, including linear algebra, integration, optimization and solving differential equations, that return uncertainties in their calculations.” (p.1) Philipp Hennig, Michael Osborne and Mark Girolami (Warwick) posted on arXiv a paper to appear in Proceedings A of the Royal Statistical Society that relates […]

probabilistic numerics

April 27, 2015

I attended an highly unusual workshop while in Warwick last week. Unusual for me, obviously. It was about probabilistic numerics, i.e., the use of probabilistic or stochastic arguments in the numerical resolution of (possibly) deterministic problems. The notion in this approach is fairly Bayesian in that it makes use to prior information or belief about […]

Bayesian probabilistic numerical methods

December 5, 2019

“…in isolation, the error of a numerical method can often be studied and understood, but when composed into a pipeline the resulting error structure maybe non-trivial and its analysis becomes more difficult. The real power of probabilistic numerics lies in its application to pipelines of numerical methods, where the probabilistic formulation permits analysis of variance […]

hit by Brexit!

August 17, 2022

After realising while at ISBA²² that Probabilistic Numerics,  the book of Philipp Heinig, Michael Osborne, and Hans Kersting, had appeared, I requested a copy for review in CHANCE from Cambridge University Press, which they kindly sent me. However, I received it with a 21€ bill for the novel VAT tax the EU has just (re)established […]

day two at ISBA 22

June 30, 2022

Still woke up early too early, which let me go for a long run in Mont Royal (which felt almost immediately familiar from earlier runs at MCM 2017!) at dawn and at a pleasant temperature (but missed the top bagel bakery on the way back!). Skipped the morning plenary lectures to complete recommendation letters and […]