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Professur Numerische Mathematik
Professur Numerische Mathematik
Professur Numerische Mathematik 

Mathematical Methods of Uncertainty Quantification (4V, 2Ü) Prof. Ernst, SS 2022

Topics of this Course:
  • Mathematical descriptions of uncertainty
  • Random differential equations
  • Representation of random fields
  • Monte Carlo methods
  • Stochastic collocation methods
  • Bayesian inverse problems

Announcements

Online Teaching Due to COVID restrictions this course will be taught in a hybrid fashion, with in-person classes and lab sessions which will be streamed via Zoom and available as recordings online. Whether participating in-person or online, it is necessary to resister for the course on the OPAL learning management system. following this link.
Wednesday, April 6, 2022 First lecture.
April 13-14, 2022 Both lectures this week will be held only online.

Class Hours

Nummer Name Zeit Raum Details
220000-B60
[Vorlesung]
Montag (Wöchentlich)
11:30-13:00
C46.733
(alt: 2/39/733)
220000-B60A
[Vorlesung]
Donnerstag (Wöchentlich)
11:30-13:00
C46.733
(alt: 2/39/733)
220000-B61
[Übung]
Montag (Wöchentlich)
15:30-17:00
C22.202
(alt: 2/B202)

Course Materials

Supplementary Literature

UQ, Numerical methods for random differential equations:
  • Tim Sullivan: Introduction to Uncertainty Quantification, Springer 2015.
  • Gabriel J. Lord, Catherine E. Powell and Tony Shardlow: An Introduction to Computational Stochastic PDEs, Cambridge University Press, 2014.
  • Ralph C. Smith: Uncertainty Quantification: Theory, Implementation and Applications, SIAM 2014.
  • Dongbin Xiu: Numerical Methods for Stochastic Computations, Princeton University Press 2010.
  • Olivier Le Maitre und Omar M. Knio: Spectral Methods for Uncertainty Quantification, Springer 2010.
Background in Statistics and Probability Theory
  • David Williams, Weighing the Odds: A Course in Probability and Statistics, Cambridge University Press, 2001.