University of Birmingham > Talks@bham > Data Science and Computational Statistics Seminar > Kalman-Wasserstein Gradient Flows

Kalman-Wasserstein Gradient Flows

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We study a class of interacting particle systems that may be used for optimization. By considering the mean-field limit one obtains a nonlinear Fokker-Planck equation. This equation exhibits a gradient structure in probability space, based on a modified Wasserstein distance which reflects particle correlations: the Kalman-Wasserstein metric. This setting gives rise to a methodology for calibrating and quantifying uncertainty for parameters appearing in complex computer models which are expensive to run, and cannot readily be differentiated. This is achieved by connecting the interacting particle system to ensemble Kalman methods for inverse problems. This is joint work with Alfredo Garbuno-Inigo (Caltech), Wuchen Li (UCLA) and Andrew Stuart (Caltech)

This talk is part of the Data Science and Computational Statistics Seminar series.

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