Ewing Lectures in Computational Science
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Date Time |
Location | Speaker |
Title – click for abstract |
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02/01 4:00pm |
Blocker 117 |
Dr Andrew Stuart Caltech |
The Legacy of Rudolph Kalman: Applications, Algorithms and Analysis
In 1960 Rudolph Kalman published what is arguably the first
paper to develop a systematic, principled approach to the
use of data to improve the predictive capability of mathematical
models. As our ability to gather data grows at an enormous rate,
the importance of this work continues to grow too. The lecture
will describe Kalman's paper and how it lead to other algorithms,
including ensemble Kalman filtering. These methods have revolutionized
applications such as navigation, weather prediction, oceanography,
oil recovery and medical imaging; and they shows promise to impact other
areas such as machine learning. Various applications will
be highlighted in the talk.
Algorithms will be introduced through
a simple iterative optimization framework.
Despite their widespread use in applications, ensemble Kalman
methods have attracted limited analysis. The talk will conclude
by explaining a framework for their analysis, based on mean-field
interacting particle systems, and recent theoretical results
stemming from this framework.
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Previous Ewing Lectures can be found here.