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A modern retrospective on probabilistic numerics

  • This article attempts to place the emergence of probabilistic numerics as a mathematical-statistical research field within its historical context and to explore how its gradual development can be related to modern formal treatments and applications. We highlight in particular the parallel contributions of Sul'din and Larkin in the 1960s and how their pioneering early ideas have reached a degree of maturity in the intervening period, mediated by paradigms such as average-case analysis and information-based complexity. We provide a subjective assessment of the state of research in probabilistic numerics and highlight some difficulties to be addressed by future works.

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Author:Chris. J. Oates, T.J. Sullivan
Document Type:Article
Parent Title (English):Statistics and Computing
First Page:1335
Last Page:1351
Year of first publication:2019
ArXiv Id:http://arxiv.org/abs/1901.04457