Probabilistic Numerics for ODEs 3: Just Kalman filtering?
Channel: Tübingen Machine Learning
Date: 2021-07-19

This video is part of a ten-part spotlight series on Probabilistic Numerical Methods for (ordinary) differential equations.

In this third video, Nico Krämer explains that Kalman filters are structurally so similar to classic ODE solvers that one can use them as a prototype to construct a probabilistic ODE solver, equipped with uncertainty. More information can be found, e.g., in Tronarp, Kersting Särkkä, Hennig. Probabilistic Solutions To Ordinary Differential Equations As Non-Linear Bayesian Filtering: A New Perspective (2019), Statistics and Computing (STCO), Volume 29, Issue 6, pp 1297-1315

The probnum package is under active development at http://probnum.org.