16.940 Numerical Methods for Stochastic Modeling and Inference
Spring 2012
Instructor: Youssef M Marzouk
Lecture: TR11-12.30 (37-212)
Information:
Advanced introduction to numerical methods for treating uncertainty in computational simulation. Draws examples from a range of engineering and science applications, emphasizing systems governed by ordinary and partial differential equations. Uncertainty propagation and assessment: Monte Carlo methods, variance reduction, sensitivity analysis, adjoint methods, polynomial chaos and Karhunen-Loève expansions, and stochastic Galerkin and collocation methods. Interaction of models with observational data, from the perspective of statistical inference: Bayesian parameter estimation, statistical regularization, Markov chain Monte Carlo, sequential data assimilation and filtering, and model selection. Computer assignments require programming.
Announcements
Office hours April 25
I will hold office hours in 33-217 at 5:30 pm this Wednesday, April 25. Additional office hours next week (April 30-May 4), time TBA.Announced on 24 April 2012 10:07 a.m. by Youssef M Marzouk
Office hours, project #2, and updated lecture schedule
This week we will hold office hours on Tuesday (March 20) from 5:30–6:30 pm in 33-217.Also, project #2 has been posted and the lecture calendar has been updated. Please see your email for more announcements!
Announced on 19 March 2012 8:16 a.m. by Youssef M Marzouk
Office hours
I will hold two office hours this week to help with Project #1:Tuesday 6 March 4:30 to 5:30 pm and Friday 9 March 4 to 5 pm
Both will be in 33-305.
best,
youssef
Announced on 06 March 2012 7:09 a.m. by Youssef M Marzouk
