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MA612 Probability on Function Spaces and Bayesian Inverse Problems

Not Running in 2015/16

Lecturers:

Term(s):

Status for Mathematics students: Not available for credit

Commitment:
Lectures will take place on Tuesdays and Thursday from 5–7 in room B3.03.
Lectures start on Tuesday October 1st.

Assessment:
Not available

Prerequisites:
Undergraduate probability and differential equations, plus an interest in the topics to be covered.

Content:
Gaussian measures on infinite-dimensional spaces.
Chaining arguments.
Non-Gaussian measures.
Introduction to Bayesian inversion.
Priors as random functions.
Posterior distribution.
Well-Posedness and approximation of the posterior.
Posterior-preserving stochastic dynamics (SPDEs and MCMC).

Books:
Preliminary reading comprises:
Martin’s lectures on SPDEs, which may be found at:
http://arxiv.org/abs/0907.4178. (See, in particular, Chap­ters 3 and 4);
Andrew’s lectures on Inverse Problems, which may be found at:
http://arxiv.org/abs/1302.6989.

Additional Resources

yr1.jpg
Year 1 regs and modules
G100 G103 GL11 G1NC

yr2.jpg
Year 2 regs and modules
G100 G103 GL11 G1NC

yr3.jpg
Year 3 regs and modules
G100 G103

yr4.jpg
Year 4 regs and modules
G103

Archived Material
Past Exams
Core module averages