Probabilistic Numerics and Uncertainty in Computations

We deliver a call to arms for probabilistic numerical methods: algorithms for numerical tasks, including linear algebra, integration, optimization and solving differential equations, that return uncertainties in their calculations. Such uncertainties, arising from the loss of precision induced by numerical calculation with limited time or hardware, are important for much contemporary science and industry. Within applications such as climate science and astrophysics, the need to make decisions on the basis of computations with large and complex data has led to a renewed focus on the management of numerical uncertainty. We describe how several seminal classic numerical methods can be interpreted naturally as probabilistic inference. We then show that the probabilistic view suggests new algorithms that can flexibly be adapted to suit application specifics, while delivering improved empirical performance. We provide concrete illustrations of the benefits of probabilistic numeric algorithms on real scientific problems from astrometry and astronomical imaging, while highlighting open problems with these new algorithms. Finally, we describe how probabilistic numerical methods provide a coherent framework for identifying the uncertainty in calculations performed with a combination of numerical algorithms (e.g. both numerical optimisers and differential equation solvers), potentially allowing the diagnosis (and control) of error sources in computations.Comment: Author Generated Postprint. 17 pages, 4 Figures, 1 Tabl

New Laplace and Helmholtz solvers

New numerical algorithms based on rational functions are introduced that can solve certain Laplace and Helmholtz problems on two-dimensional domains with corners faster and more accurately than the standard methods of finite elements and integral equations. The new algorithms point to a reconsideration of the assumptions underlying existing numerical analysis for partial differential equations

Numerical integration of Heath-Jarrow-Morton model of interest rates

We propose and analyze numerical methods for the Heath-Jarrow-Morton (HJM) model. To construct the methods, we first discretize the infinite dimensional HJM equation in maturity time variable using quadrature rules for approximating the arbitrage-free drift. This results in a finite dimensional system of stochastic differential equations (SDEs) which we approximate in the weak and mean-square sense using the general theory of numerical integration of SDEs. The proposed numerical algorithms are computationally highly efficient due to the use of high-order quadrature rules which allow us to take relatively large discretization steps in the maturity time without affecting overall accuracy of the algorithms. Convergence theorems for the methods are proved. Results of some numerical experiments with European-type interest rate derivatives are presented.Comment: 48 page

Testing gravitational-wave searches with numerical relativity waveforms: Results from the first Numerical INJection Analysis (NINJA) project

The Numerical INJection Analysis (NINJA) project is a collaborative effort between members of the numerical relativity and gravitational-wave data analysis communities. The purpose of NINJA is to study the sensitivity of existing gravitational-wave search algorithms using numerically generated waveforms and to foster closer collaboration between the numerical relativity and data analysis communities. We describe the results of the first NINJA analysis which focused on gravitational waveforms from binary black hole coalescence. Ten numerical relativity groups contributed numerical data which were used to generate a set of gravitational-wave signals. These signals were injected into a simulated data set, designed to mimic the response of the Initial LIGO and Virgo gravitational-wave detectors. Nine groups analysed this data using search and parameter-estimation pipelines. Matched filter algorithms, un-modelled-burst searches and Bayesian parameter-estimation and model-selection algorithms were applied to the data. We report the efficiency of these search methods in detecting the numerical waveforms and measuring their parameters. We describe preliminary comparisons between the different search methods and suggest improvements for future NINJA analyses.Comment: 56 pages, 25 figures; various clarifications; accepted to CQ

Sparsity Constrained Nonlinear Optimization: Optimality Conditions and Algorithms

This paper treats the problem of minimizing a general continuously differentiable function subject to sparsity constraints. We present and analyze several different optimality criteria which are based on the notions of stationarity and coordinate-wise optimality. These conditions are then used to derive three numerical algorithms aimed at finding points satisfying the resulting optimality criteria: the iterative hard thresholding method and the greedy and partial sparse-simplex methods. The first algorithm is essentially a gradient projection method while the remaining two algorithms are of coordinate descent type. The theoretical convergence of these methods and their relations to the derived optimality conditions are studied. The algorithms and results are illustrated by several numerical examples.Comment: submitted to SIAM Optimizatio