"Local and Optimal Transport Perspectives on Uncertainty Propagation"

24 September 2021
12:00 pm to 1:00 pm
"Local and Optimal Transport Perspectives on Uncertainty Propagation"
Amir Sagiv
Columbia University

Abstract: In many scientific areas, deterministic models (e.g., differential equations) use numerical parameters. In real-world settings, however, such parameters might be uncertain or noisy. A more comprehensive model should therefore provide a statistical description of the quantity of interest. Underlying this computational problem is a fundamental question - if two "similar" functions push-forward the same measure, would the new resulting measures be close, and if so, in what sense? We will first show how the probability density function (PDF) of the quantity of interest can be approximated, using spectral and local methods. We will then discuss an alternative viewpoint: through optimal transport theory, a Wasserstein-distance formulation of our problem yields a much simpler and widely applicable theory. 

Bio: Amir Sagiv is a Chu Assistant Professor of Applied Mathematics at Columbia University, and earned his Ph.D. in Applied Mathematics at Tel Aviv University in 2019. 


(student host will be Ricardo Baptista)