When a mathematical or computational model is used to analyse some system, it
is usual that some parameters resp.\ functions or fields in the model are not
known, and hence uncertain. These parametric quantities are then identified by
actual observations of the response of the real system. In a probabilistic
setting, Bayes's theory is the proper mathematical background for this
identification process. The possibility of being able to compute a conditional
expectation turns out to be crucial for this purpose. We show how this
theoretical background can be used in an actual numerical procedure, and
shortly discuss various numerical approximations