Friday, October 8, 2021 - 12:00pm to 1:00pm
Event Calendar Category
Uncategorized
Speaker Name
Paul-Baptiste Rubio
Affiliation
MIT
Building and Room number
33-116
Zoom meeting id
91862758072
Join Zoom meeting
https://mit.zoom.us/j/91862758072
Abstract
We present a class of transport-based algorithms to efficiently perform sequential Bayesian inference of static model parameters, in a setting where likelihood evaluations are not available or tractable. The strategy is based on the extraction of conditional distributions from the joint prior distribution of parameters and data, via the estimation of structured (e.g., block triangular) transport maps. We adapt this idea to the sequential setting via new recursive algorithms. To support near real-time applications with expensive models, we also discuss an offline/online approach that uses pre-computed maps to enable model-free computation during the online inference phase. The performance of these strategies will be illustrated on examples drawn from engineering applications.