Numerical Methods for Uncertainty Quantification - Part 2

Principal Instructors: Various

Course Day and Time: Course will be held at SAMSI (driving directions) in RTP on Wednesdays, 4:30-7:00 p.m. in Room 150.

Schedule: First class Wednesday, January 18, 2012 ; last class Wednesday, April 25, 2012

This course focuses on numerical methods for stochastic computation and uncertainty quantification (UQ). It is a two-semester course, where the first semester focuses on fundamental materials for UQ computing and the second semester on more advanced research materials.

The main topics covered in the second semester include

• advanced numerical techniques for SPDE: adaptive methods and compressive sensing
• propagation of probability distributions
• Bayesian inference
• data assimilation
• model calibration

Prerequisites:

Numerical linear algebra, numerical methods for ordinary and partial differential equations;
programming skill in one language, e.g., C/C++, FORTRAN, or Matlab.

The course is open to all levels of graduate students in Mathematics, Statistics, as well as to those in other departments of sciences and engineering. Senior level undergraduate students with outstanding background are also considered.

Registration for this course is being processed through your university.
Duke: STA 294-01
NCSU: MA 810.002
UNC: STOR 891-001

Questions about the course or the UQ program should be emailed to [email protected].