Not Running in 2015/16
Status for Mathematics students: Not available for credit
Lectures will take place on Tuesdays and Thursday from 5–7 in room B3.03.
Lectures start on Tuesday October 1st.
Undergraduate probability and differential equations, plus an interest in the topics to be covered.
Gaussian measures on infinite-dimensional spaces.
Introduction to Bayesian inversion.
Priors as random functions.
Well-Posedness and approximation of the posterior.
Posterior-preserving stochastic dynamics (SPDEs and MCMC).
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: