Stochastic Numerics and Inverse Problems

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Stochastic Numerics and Inverse Problems

 Jun 09 2021

13:00 - 14:00


  • Charles-Edouard Bréhier, CNRS & Université Lyon 1

  • Evelyn Buckwar, Linz University

  • Erika Hausenblas, Loeben University

  • Ray Kawai, Tokyo University

  • Gabriel Lord, Radboud University

  • Mikhail Tretyakov, Nottingham University

  • Kostas Zygalakis, University of Edinburgh

This is a One World Seminar
. The seminars occur bi-weekly on a Wednesdays 13.00-14.00 BST

Zoom is the online platform being used to deliver this seminar series.

Register Here

Recordings from this seminar series are available here.

Future Seminars 

9 June 2021

Laura Scarbosio, Radboud University Shape uncertainty quantification for non-smooth quantities of interest

Abstract: In this talk I will focus on Helmholtz interface problems with uncertain interface as an example where some quantities of interest, such as point values of the solution, depend non-smoothly on the parameter describing the shape variations. The non-smoothness poses a challenge for classical uncertainty quantification methods, due to the high-dimensionality of the parameter space. I will show that, if one is interested in the average of the quantity of interest, then multilevel Monte Carlo is a robust and viable algorithm. If one is interested instead in a surrogate of the parameter-to-quantity of interest map, this can be built using deep neural networks with ReLU activation function. I will provide a theoretical justification for why one can expect these neural networks to be good candidates for a surrogate, and I will show numerical results illustrating their performance in dependence of different modeling parameters.

23 June 2021

Annika Lang, Chalmers University 

7 July 2021

Gabriel Stoltz, Ecole des Ponts

Previous Seminars

Erika Hausenblas, Montanuniversitaet Leoben: Stochastic Activator-Inhibitor models and its Numerical Modelling

Monika Eisenmann, Lund University - Sub-linear convergence of stochastic optimization methods in Hilbert space

Konstantinos Dareiotis, University of Leeds - Approximation of stochastic equations with irregular drifts

  • This seminar was NOT recorded 


Andrew Stuart, Caltech - Inverse Problems Without Adjoints

Svetlana Dubinkina, Vrije Universiteit Amsterdam - Shadowing approach to data assimilation


Denis Talay, Inria and Ecole Polytechnique - Probability distributions of first hitting times of solutions to SDEs w.r.t. the Hurst parameter of the driving fractional Brownian noise: A sensitivity analysis


Evelyn Buckwar, Johannes Kepler University - A couple of ideas on splitting methods for SDEs


Andreas Prohl, Tübingen - Numerical methods for stochastic Navier-Stokes equations


Mireille Bossy, INRIA - SDEs with boundaries, modelling particle dynamics in turbulent flow


Raphael Kruse, Halle-Wittenberg - On the BDF2-Maruyama method for stochastic evolution equations 


Adrien Laurent, University of Geneva - Order conditions for sampling the invariant measure of ergodic stochastic differential equations in R^d and on manifolds


Chuchu Chen, Chinese Academy of Sciences - Probabilistic superiority of stochastic symplectic methods via large deviations principle

  • This seminar was NOT recorded

Kostas Zygalakis, University of Edinburgh - Explicit stabilised Runge-Kutta methods and their application to Bayesian inverse problems


Xuerong Mao, Strathclyde - The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations


Charles-Edouard Bréhier, Claude Bernard Lyon - Analysis of splitting schemes for the stochastic Allen-Cahn equation


Conall Kelly, University College Cork - A hybrid, adaptive numerical method for the Cox-Ingersoll-Ross model


Abdul Lateef Haji-Ali, Heriot Watt University - Sub-sampling and other considerations for efficient risk estimation in large portfolios


David Cohen, Umeå University - Drift-preserving schemes for stochastic Hamiltonian and Poisson systems


Gabriel Lord, Radboud University - Numerics and SDE a model for the stochastically forced vorticity equation


Marco Iglesias, University of Nottingham - Ensemble Kalman Inversion: from subsurface environments to composite materials


Ray Kawai, University of Tokyo - Stochastic approximation in adaptive Monte Carlo variance reduction

  • This seminar was NOT recorded

Kody Law, University of Manchester - Bayesian Static Parameter Estimation using Multilevel and multi-index Monte Carlo


Akash Sharma & Michael Tretyakov, University of Nottingham - Computing ergodic limits of reflected diffusions and sampling from distributions with compact support


Georg Gottwald, The University of Sydney - Simulation of non-Lipschitz stochastic differential equations driven by α-stable noise: a method based on deterministic homogenisation


Marta Sanz-Sole, Barcelona - Global existence for stochastic waves with super-linear coefficients


Sonja Cox, University of Amsterdam - Efficient simulation of generalized Whittle-Mat'ern fields


This seminar series is supported as part of the ICMS Online Mathematical Sciences Seminars.