CAM Seminar—Kalman-Wasserstein Gradient Flows
报告人：Franca Hoffmann (Caltech)
时间：2020-04-21 16:00
地点：Cisco Webex Meeting (会议号：184 117 968 会议密码：math) 会议链接：https://pku.webex.com.cn/pku/j.php?MTID=m7aafbbedc8b898662e9fc39b9882f1c5
Abstract: We study a class of interacting particle systems that may be used for optimization. By considering the mean-field limit one obtains a nonlinear Fokker-Planck equation. This equation exhibits a gradient structure in probability space, based on a modified Wasserstein distance which reflects particle correlations: the Kalman-Wasserstein metric. This setting gives rise to a methodology for calibrating and quantifying uncertainty for parameters appearing in complex computer models which are expensive to run, and cannot readily be differentiated. This is achieved by connecting the interacting particle system to ensemble Kalman methods for inverse problems. This is joint work with Alfredo Garbuno-Inigo (Caltech), Wuchen Li (UCLA) and Andrew Stuart (Caltech).
