Friday, March 31, 2017 (3:15 p.m. in Yost 306)
Title: Solution uncertainty quantification for differential equations
Speaker: Oksana Chkrebtii (Assistant Professor, The Ohio State University)
Abstract: When models are defined implicitly by systems of differential equations without a closed form solution, small local errors in finite-dimensional solution approximations can propagate into large deviations from the true underlying state trajectory. Inference for such models relies on a likelihood approximation constructed around a numerical solution, which underestimates posterior uncertainty. This talk will introduce and discuss progress in a new formalism for modeling and propagating discretization uncertainty through the Bayesian inferential framework, allowing exact inference and uncertainty quantification for discretized differential equation models.