EU Regional School - Hennig Seminar
Prof. Philipp Hennig, Ph.D - Probabilistic Numerics — Uncertainty in Computation
Department of Probabilistic Numerics, Max Planck Institute for Intelligent Systems, Tübingen
Data Analysis and Machine learning are prominent topics of contemporary computer science. Their computational complexity is dominated by the solution of non-analytic numerical problems (large-scale linear algebra, optimization, integration, the solution of differential equations). But a converse of sorts is also true: numerical algorithms for these tasks are learning machines! They estimate intractable quantities from observable (computable) quantities. Because they also decide which numbers to compute, these methods can be interpreted as autonomous inference agents. This observation lies at the heart of the emerging area of probabilistic numerical computation, which applies the concepts of probabilistic inference to the design of algorithms, assigning a notion of uncertainty to the result of even deterministic computations. I will outline how this viewpoint is connected to that of classic numerical analysis, then show some concrete examples of algorithms that use the probabilistic formalism to address contemporary algorithmic challenges in large-scale machine learning.