ProbabilisticNumericalMethod

class probnum.ProbabilisticNumericalMethod(stopping_criterion)

Bases: ABC, Generic[ProblemType, BeliefType]

Probabilistic numerical methods.

An abstract base class defining the implementation of a probabilistic numerical method [1] [2]. A PN method solves a numerical problem by treating it as a probabilistic inference task.

Parameters:

stopping_criterion – Stopping criterion determining when a desired terminal condition is met.

References

[1]

Hennig, P., Osborne, Mike A. and Girolami M., Probabilistic numerics and uncertainty in computations. Proceedings of the Royal Society of London A: Mathematical, Physical and Engineering Sciences, 471(2179), 2015.

[2]

Cockayne, J., Oates, C., Sullivan Tim J. and Girolami M., Bayesian probabilistic numerical methods. SIAM Review, 61(4):756–789, 2019

See also

ProbabilisticLinearSolver

Compose a custom probabilistic linear solver.

Notes

All PN methods should subclass this base class. Typically convenience functions (such as problinsolve()) will instantiate an object of a derived subclass.

Methods Summary

solve(prior, problem, **kwargs)

Solve the given numerical problem.

Methods Documentation

abstract solve(prior, problem, **kwargs)

Solve the given numerical problem.

Parameters:

• prior (BeliefType) – Prior knowledge about quantities of interest of the numerical problem.

• problem (ProblemType) – Numerical problem to be solved.

Return type:

Tuple[BeliefType, StateType]