Workshop on probabilistic numerical methods

Learn more Add to Calendar 04/11/2018 09:00 AM 04/13/2018 05:00 PM Europe/London Workshop on probabilistic numerical methods Location of the event
Wednesday 11 Apr 2018 - Friday 13 Apr 2018
Time: 09:00 - 17:00

Event type


Audience type

Advanced technical


You can view the workshop panel here:

About the event

Day 1: 10:00 - 17:00
Day 2: 9:00 - 17:00
Day 3: 9:00 - 16:00

There are a limited number of places which will be allocated to applicants whose expertise is most closely aligned with the workshop content.

Further details can be found on the main event website.

This workshop is part of the SAMSI Programme on Quasi-Monte Carlo and High-Dimensional Sampling Methods for Applied Mathematics. In collaboration with SAMSI and Lloyd's Register Foundation.

The accuracy and robustness of numerical predictions that are based on mathematical models depend critically upon the construction of accurate discrete approximations to key quantities of interest. The exact error due to approximation will be unknown to the analyst, but worst-case upper bounds can often be obtained.

This workshop aims, instead, to further the development of Probabilistic Numerical Methods, which provide the analyst with a richer, probabilistic quantification of the numerical error in their output, thus providing better tools for reliable statistical inference Some topics that will be discussed:

  • Reference priors for the probabilistic solution of differential equations.
  • Heavy-tailed stable distributions for robust uncertainty quantification.
  • Statistical estimation with multi-resolution operator decompositions.
  • Probabilistic numerical methods as Bayesian inversion methods.

To find out more:


The Alan Turing Institute

1st floor of the British Library, 96 Euston Road, London, NW1 2DB

51.5297753, -0.12665390000006