A measure perspective on uncertainty quantification

 Speaker: Amir Sagiv (Columbia University)

In many scientific areas, deterministic models (e.g., differential equations) use numerical parameters. Often, such parameters might be uncertain or noisy. A more honest model should therefore provide a statistical description of the quantity of interest. Underlying this numerical analysis problem is a fundamental question - if two "similar" functions push-forward the same measure, would the new resulting measures be close, and if so, in what sense? We will first show how the probability density function (PDF) of the quantity of interest can be approximated. We will then discuss how, through the lense of the Wasserstein-distance, our problem yields a simpler and more robust theoretical framework.

Finally, we will take a steep turn to a seemingly unrelated topic: the computational sampling problem. In particular, we will discuss the emerging class of sampling-by-transport algorithms, which to-date lacks rigorous theoretical guarantees. As it turns out, the mathematical machinery developed in the first half of the talk provides a clear avenue to understand this latter class of algorithms. 

Time: November 11, 2022 2:30pm-3:30pm
Location: Virtually via Zoom
Host: Wolfgang Dahmen