Global Optimization and Uncertainty Quantification
Prof. Mrinal K. Sen
The University of Texas at Austin
12 hours (3 hours/day) – 3 CFU
June 19 - June 22, 2017
Dipartimento di Scienze della Terra, dell'Ambiente e delle Risorse
Università di Napoli Federico II
Prerequisites: Basic knowledge of statistics, matrix algebra and MATLAB
Short Program of the Course:
- Introduction to inverse problems - why they are hard?
- Objective functions and Norm
- Local Optimization methods
- Statistical methods for inversion
- Monte Carlo Markov Chain (MCMC)
- Simulated Annealing
- Genetic Algorithms
- Particle Swarm Optimization
- Uncertainty quantification: Fixed Dimensional problem
- Uncertainty quantification: Trans-dimensional problem
- Computer exercises about MCMC and SA