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Frontiers Abstracts

Optimal Uncertainty Quantification: Distributional Robustness Versus Bayesian Brittleness

[+] Author and Article Information
T. J. Sullivan

University of Warwick,
Coventry, CV4 7AL, UK

C. Scovel

California Institute of Technology,
Pasadena, CA 91125, USA

Manuscript received September 27, 2013; final manuscript received October 18, 2013; published online December 5, 2013. Assoc. Editor: Hengchu Cao.

J. Med. Devices 7(4), 040920 (Dec 05, 2013) (1 page) Paper No: MED-13-1238; doi: 10.1115/1.4025786 History: Received September 27, 2013; Revised October 18, 2013

We discuss recent mathematical and computational results on uncertainty quantification (UQ) in the presence of uncertainty about the correct probabilistic and physical models. Such UQ problems can be formulated as constrained optimization problems with information acting as the constraints, with consequent optimal assessments of risk, and advantages for interdisciplinary communication and open science. We also report consequences of this point of view for the robustness of Bayesian methods under prior perturbation.

Copyright © 2013 by ASME
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References

Owhadi, H., Scovel, C., Sullivan, T. J., McKerns, and Ortiz, M., 2013, “Optimal Uncertainty Quantification,” SIAM Rev., 55(2), pp. 271–345. [CrossRef]
Sullivan, T. J., McKerns, M., Meyer, D., Theil, F., Owhadi, H., and Ortiz, M., 2013, “Optimal Uncertainty Quantification for Legacy Data Observations of Lipschitz Functions,” Math. Modell. Numer. Anal., 47(6), pp. 1657–1689. [CrossRef]
Han, S., Topcu, U., Tao, M., Owhadi, H., and Murray, R. M., Proc. Amer. Conf. Control, “Convex Optimal Uncertainty Quantification: Algorithms and a Case Study in Energy Storage Placement for Power Grids,” 2013 American Control Conference (ACC), Washington, DC, June 17–19, Paper No. MoB10.2.
Owhadi, H., Scovel, C., and Sullivan, T. J., 2013, “Bayesian Brittleness: Why No Bayesian Model is 'Good Enough',” http://arxiv.org/abs/1304.6772
Owhadi, H., Scovel, C., and Sullivan, T. J., 2013, “When Bayesian Inference Shatters,” http://arxiv.org/abs/1308.6306.
Efron, B., 2013, Science, 340, pp. 1177–1178. [CrossRef] [PubMed]

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