Here are different videos available from the Statistical and Applied Mathematical Sciences Institute at Duke University that features several workshops on Uncertainty Quantification: (see their 2011-12 Program on Uncertainty Quantification), enjoy:

(there is an entry on Nukt Blanche pointing to the connection with compressive sensing and uncertainty quantification )October 14, 2011

Dr. Adrian Sandu - tutorial lecture on Data Assimilation for Uncertainty Quantification

October 14, 2011

Habib Najm's tutorial lecture on Foundations for Uncertainty Quantification

October 14, 2011

Peter Kitanidis Inverse Problem and Calibration Uncertainty Quantification tutorial lecture

October 14, 2011

Susie Bayarri's tutorial lecture on Representation and Propagation of Uncertainty

September 9, 2011

Dan Cooley: Statistics of Extremes (Tutorial talk)

June 20, 2011

Uncertainty Quantification Summer School presentation by Dr. Adrian Sandu: Variational Data Assimilation

June 20, 2011

Uncertainty Quantification Summer School presentation by Dr. Dan Cooley: Statistical Analysis of Rare Events

June 20, 2011

Uncertainty Quantification Summer School presentation by Dr. Dongbin Xiu: Sensitivity Analysis and Polynomial Chaos for Differential Equations

June 20, 2011

Uncertainty Quantification Summer School presentation by Dr. Doug Nychka: Data Assimilation and Applications in Climate Modeling

March 2, 2011

Dr. Douglas Nychka,Director of the Institute of Mathematics Applied to Geosciences for the National Center for Atmospheric Research (NCAR), spoke to an audience on February 15 about climate change.

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