A modern retrospective on probabilistic numerics

This article attempts to place the emergence of probabilistic numerics as a mathematical–statistical research field within its historical context and to explore how its gradual development can be related both to applications and to a modern formal treatment. We highlight in particular the parallel contributions of Sul′din and Larkin in the 1960s and how their pioneering early ideas have reached a degree of maturity in the intervening period, mediated by paradigms such as average-case analysis and information-based complexity. We provide a subjective assessment of the state of research in probabilistic numerics and highlight some difficulties to be addressed by future works

A Locally Adaptive Bayesian Cubature Method

Bayesian cubature (BC) is a popular inferential perspective on the cubature of expensive integrands, wherein the integrand is emulated using a stochastic process model. Several approaches have been put forward to encode sequential adaptation (i.e. dependence on previous integrand evaluations) into this framework. However, these proposals have been limited to either estimating the parameters of a stationary covariance model or focusing computational resources on regions where large values are taken by the integrand. In contrast, many classical adaptive cubature methods focus computational resources on spatial regions in which local error estimates are largest. The contributions of this work are three-fold: First, we present a theoretical result that suggests there does not exist a direct Bayesian analogue of the classical adaptive trapezoidal method. Then we put forward a novel BC method that has empirically similar behaviour to the adaptive trapezoidal method. Finally we present evidence that the novel method provides improved cubature performance, relative to standard BC, in a detailed empirical assessment

Semi-Exact Control Functionals From Sard's Method

A novel control variate technique is proposed for post-processing of Markov chain Monte Carlo output, based both on Stein's method and an approach to numerical integration due to Sard. The resulting estimators of posterior expected quantities of interest are proven to be polynomially exact in the Gaussian context, while empirical results suggest the estimators approximate a Gaussian cubature method near the Bernstein-von-Mises limit. The main theoretical result establishes a bias-correction property in settings where the Markov chain does not leave the posterior invariant. Empirical results are presented across a selection of Bayesian inference tasks. All methods used in this paper are available in the R package ZVCV

Optimality Criteria for Probabilistic Numerical Methods

It is well understood that Bayesian decision theory and average case analysis are essentially identical. However, if one is interested in performing uncertainty quantification for a numerical task, it can be argued that standard approaches from the decision-theoretic framework are neither appropriate nor sufficient. Instead, we consider a particular optimality criterion from Bayesian experimental design and study its implied optimal information in the numerical context. This information is demonstrated to differ, in general, from the information that would be used in an average-case-optimal numerical method. The explicit connection to Bayesian experimental design suggests several distinct regimes in which optimal probabilistic numerical methods can be developed.Comment: Prepared for the proceedings of the RICAM workshop on Multivariate Algorithms and Information-Based Complexity, November 201

A Riemannian-Stein Kernel Method

This paper presents a theoretical analysis of numerical integration based on interpolation with a Stein kernel. In particular, the case of integrals with respect to a posterior distribution supported on a general Riemannian manifold is considered and the asymptotic convergence of the estimator in this context is established. Our results are considerably stronger than those previously reported, in that the optimal rate of convergence is established under a basic Sobolev-type assumption on the integrand. The theoretical results are empirically verified on $\mathbb{S}^2$

Black box probabilistic numerics

Peer reviewe

Black box probabilistic numerics

Peer reviewe