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Activity Number: 106 - Recent Trends in Inference from Dynamical Systems
Type: Invited
Date/Time: Monday, July 30, 2018 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract #326734
Title: Multilevel Monte Carlo for Inference
Author(s): Kody Law*
Companies: Oak Ridge National Laboratory
Keywords: Bayesian inference; Multilevel Monte Carlo; Markov chain Monte Carlo; sequential Monte Carlo

Bayesian inference provides a principled and well-defined approach to the integration of data into an a priori known distribution. The posterior distribution, however, is known only point-wise (possibly with an intractable likelihood) and up to a normalizing constant. Monte Carlo methods have been designed to sample such distributions, such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) samplers. Recently, the multilevel Monte Carlo (MLMC) framework has been extended to some of these cases, so that numerical approximation error can be optimally balanced with statistical sampling error, and ultimately the Bayesian inverse problem can be solved for the same asymptotic cost as solving the deterministic forward problem. This talk will concern the recent development of various MLMC algorithms for Bayesian inference problems.

Authors who are presenting talks have a * after their name.

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