The twenty-second UQSay seminar on UQ, DACE and related topics, organized by L2S, MSSMAT, LMT and EDF R&D, will take place online on Thursday afternoon, January 21, 2021.
14h–15h — Cédric Travelletti (University of Bern) — [slides]
Implicit Update for Large-Scale Inversion under GP prior
We present an almost matrix-free update method for posterior Gaussian process distributions under sequential observations of linear functionals. By introducing a novel implicit representation of the posterior covariance matrix, we are able to extract posterior covariance information on large grids and to provide a framework for sequential data assimilation when covariance matrices cannot fit in memory.
This is useful in Bayesian linear inverse problems with Gaussian priors, where the matrices involved grow quadratically in the number of elements in the discretization grid, creating memory bottlenecks when inverting on fine-grained discretizations.
We illustrate our method by applying it to an excursion set recovery task arising from a gravimetric inverse problem on Stromboli volcano. In this setting, we demonstrate computation and sequential updating of exact posterior mean and covariance at resolutions finer than what state-of-the-art techniques can handle and showcase how the proposed framework enables implementing large-scale probabilistic excursion set estimation and also deriving efficient experimental design strategies tailored to this goal.
Joint work with David Ginsbourger (Univ. Bern) and Niklas Linde (Univ. Lausanne).
Ref: Volcapy (github).
Organizing committee: Julien Bect (L2S), Emmanuel Vazquez (L2S), Didier Clouteau (MSSMAT), Filippo Gatti (MSSMAT), Fernando Lopez Caballero (MSSMAT), Amélie Fau (LMT), Bertrand Iooss (EDF R&D).
Practical details: the seminar will be held online using Microsoft Teams.
If you want to attend this seminar (or any of the forthcoming online UQSay seminars), and if you do not already have access to the UQSay group on Teams, simply send an email and you will be invited. Please specify which email address the invitation must be sent to (this has to be the address associated with your Teams account).
You will find the link to the seminar on the "General" UQSay channel on Teams, approximately 15 minutes before the beginning.
The technical side of things: you can use Teams either directly from you web browser or using the "fat client", which is available for most platforms (Windows, Linux, Mac, Android & iOS). We strongly recommend the latter option whenever possible. Please give it a try before the seminar to anticipate potential problems.
