Probabilistic Numerical Computation: A New Concept?

23 February 2017, 3.00 PM - 23 February 2017, 4.00 PM

Professor Mark Girolami FRSE FIET, Chair of Statistics, Imperial College London

MVB 1.06, Merchant Venturers Building, Woodland Road, Clifton

Abstract: Ambitious mathematical models of highly complex natural phenomena are challenging to analyse, and more and more computationally expensive to evaluate. This is a particularly acute problem for many tasks of interest and numerical methods will tend to be slow, due to the complexity of the models, and potentially lead to sub-optimal solutions with high levels of uncertainty which needs to be accounted for and subsequently propagated in the statistical reasoning process.

This talk will introduce our contributions to an emerging area of research defining a nexus of applied mathematics, statistical science and computer science, called "probabilistic numerics". The aim is to consider numerical problems from a statistical viewpoint, and as such provide numerical methods for which numerical error can be quantified and controlled in a probabilistic manner.

This philosophy will be illustrated on problems ranging from predictive policing via crime modelling to computer vision, where probabilistic numerical methods provide a rich and essential quantification of the uncertainty associated with such models and their computation.

Biography: Prior to joining Imperial College, Mark held Chairs in Computing and Inferential Science at the University of Glasgow, in Statistics at UCL and subsequently Warwick University.

In 2011 he was elected to the Fellowship of the Royal Society of Edinburgh when he was also awarded a Royal Society Wolfson Research Merit Award. He was one of the founding Executive Directors of the Alan Turing Institute for Data Science from 2015 to 2016. He is an EPSRC Established Career Research Fellow and Director of the Lloyds Register Foundation-Turing Programme on Data Centric Engineering of The Alan Turing Institute.

He is currently an Associate Editor for J. R. Statist. Soc. C, Journal of Computational and Graphical Statistics, Statistics & Computing, and Area Editor for Pattern Recognition Letters. He is a member of the Research Section of the Royal Statistical Society.

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