Talk by Prof Youssef Marzouk, Maths Dept, 2pm, 4th of March

[Tom Rainforth]

[Please forward any questions to Paz Fink Shustin (Paz.Fin...@maths.ox.ac.uk) who is organizing.]

Speaker: Prof. Youssef Marzouk (MIT)

Title: On transport methods for simulation-based inference and data assimilation

 

Abstract: Many practical Bayesian inference problems fall into the simulation-based or "likelihood-free" setting, where evaluations of the likelihood function or prior density are unavailable or intractable; instead one can only draw samples from the joint parameter-data prior. Learning conditional distributions is essential to the solution of these problems.
To this end, I will discuss a powerful class of methods for conditional density estimation and conditional simulation based on transportation of measure. An important application for these methods lies in data assimilation for dynamical systems, where transport enables new approaches to nonlinear filtering and smoothing.
To illuminate some of the theoretical underpinnings of these methods, I will discuss recent work on monotone map representations, optimization guarantees for learning maps from data, and the statistical convergence of transport-based density estimators.

Date:  Monday, 4 March 2024
Time: 14:00-15:00
Location: Department of Mathematics, Lecture Room 3 (L3)