ProbabilisticNumericalMethod

class probnum.ProbabilisticNumericalMethod(prior)

Bases: abc.ABC, Generic[probnum._probabilistic_numerical_method.ProblemType, probnum._probabilistic_numerical_method.BeliefType]

Probabilistic numerical methods.

An abstract base class defining the implementation of a probabilistic numerical method 1 2. A PN method solves a numerical problem by treating it as a probabilistic inference task.

Parameters

prior (~BeliefType) – Prior knowledge about quantities of interest for the numerical problem.

References

1

Hennig, P., Osborne, Mike A. and Girolami M., Probabilistic numerics and uncertainty in computations. Proceedings of the Royal Society of London A: Mathematical, Physical and Engineering Sciences, 471(2179), 2015.

2

Cockayne, J., Oates, C., Sullivan Tim J. and Girolami M., Bayesian probabilistic numerical methods. SIAM Review, 61(4):756–789, 2019

Notes

All PN methods should subclass this base class. Typically convenience functions (such as problinsolve()) will instantiate an object of a derived subclass.

Methods Summary

solve(problem)

Solve the given numerical problem.

Methods Documentation

abstract solve(problem)[source]

Solve the given numerical problem.

Parameters

problem (~ProblemType) – Numerical problem to be solved.

Return type

Tuple[~BeliefType, ~StateType]