Probabilistic Meshless Methods for Bayesian Inverse Problems

Abstract: 

This talk deals with statistical inverse problems that involve partial differential equations (PDEs) with unknown parameters. Our goal is to account, in a rigorous way, for the impact of discretisation error that is introduced at each evaluation of the likelihood due to numerical solution of the PDE. In the context of meshless methods, the proposed, model-based approach to discretisation error encourages statistical inferences to be more conservative in the presence of significant solver error. In addition, (i) a principled learning-theoretic approach to minimise the impact of solver error is developed, and (ii) the challenge of non-linear PDEs is considered. The method is applied to parameter inference problems in which non-negligible solver error must be accounted for in order to draw valid statistical conclusions.