Global Optimization and Uncertainty Quantification


Società Geologica Italiana

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
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