Itô-SDE MCMC method for Bayesian characterization of errors associated with data limitations in stochastic expansion methods for uncertainty quantification (Q1695336): Difference between revisions

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scientific article

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English	Itô-SDE MCMC method for Bayesian characterization of errors associated with data limitations in stochastic expansion methods for uncertainty quantification	scientific article

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instance of

scholarly article

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title

Itô-SDE MCMC method for Bayesian characterization of errors associated with data limitations in stochastic expansion methods for uncertainty quantification (English)

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zbMATH Open document ID

1380.62106

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DOI

10.1016/j.jcp.2017.08.005

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Jean-Philippe Ponthot

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published in

Journal of Computational Physics

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publication date

7 February 2018

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Mathematics Subject Classification ID

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Itô stochastic differential equation

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Markov chain Monte Carlo

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Bayesian inference

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error budget

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limited data

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describes a project that uses

BayesDA

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jcp.2017.08.005

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OpenAlex ID

W2743473122

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cites work

On the construction and analysis of stochastic models: characterization and propagation of the errors associated with limited data

0 references

Identification of Bayesian posteriors for coefficients of chaos expansions

0 references

Stochastic spectral methods for efficient Bayesian solution of inverse problems

0 references

Construction of probability distributions in high dimension using the maximum entropy principle: Applications to stochastic processes, random fields and random matrices

0 references

Itô SDE--based Generator for a Class of Non-Gaussian Vector-valued Random Fields in Uncertainty Quantification

0 references

Approximate Solutions of Lagrange Multipliers for Information-Theoretic Random Field Models

0 references

Polynomial Chaos Expansion of a Multimodal Random Vector

0 references

Q3996911

0 references

Q4308904

0 references

Ergodicity for Infinite Dimensional Systems

0 references

Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

0 references

Ergodic Properties of Markov Processes

0 references

Q3560913

0 references

Stability of regime-switching stochastic differential equations

0 references

Exponential return to equilibrium for hypoelliptic quadratic systems

0 references

Stochastic Processes and Applications

0 references

Molecular dynamics. With deterministic and stochastic numerical methods

0 references

Exponential convergence of Langevin distributions and their discrete approximations

0 references

Q3172405

0 references

Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods

0 references

Q5175664

0 references

Spectral Methods for Uncertainty Quantification

0 references

Uncertainty quantification. An accelerated course with advanced applications in computational engineering

0 references

AN OVERVIEW OF NONINTRUSIVE CHARACTERIZATION, PROPAGATION, AND SENSITIVITY ANALYSIS OF UNCERTAINTIES IN COMPUTATIONAL MECHANICS

0 references

Real Analysis and Probability

0 references

Asymptotics in statistics. Some basic concepts.

0 references

The Bernstein-von Mises theorem under misspecification

0 references

Time-domain formulation in computational dynamics for linear viscoelastic media with model uncertainties and stochastic excitation

0 references

Q5189317

0 references

The analysis of linear partial differential operators. III: Pseudo-differential operators

0 references

STRONG FELLER CONTINUITY OF FELLER PROCESSES AND SEMIGROUPS

0 references

Statistical inference with bivariate gamma distributions

0 references

Q4807438

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1695336

@@ Property / cites work @@
+On the construction and analysis of stochastic models: characterization and propagation of the errors associated with limited data
+Normal rank
@@ Property / cites work @@
+Identification of Bayesian posteriors for coefficients of chaos expansions
+Normal rank
@@ Property / cites work @@
+Stochastic spectral methods for efficient Bayesian solution of inverse problems
+Normal rank
@@ Property / cites work @@
+Construction of probability distributions in high dimension using the maximum entropy principle: Applications to stochastic processes, random fields and random matrices
+Normal rank
@@ Property / cites work @@
+Itô SDE--based Generator for a Class of Non-Gaussian Vector-valued Random Fields in Uncertainty Quantification
+Normal rank
@@ Property / cites work @@
+Approximate Solutions of Lagrange Multipliers for Information-Theoretic Random Field Models
+Normal rank
@@ Property / cites work @@
+Polynomial Chaos Expansion of a Multimodal Random Vector
+Normal rank
@@ Property / cites work @@
+Q3996911
@@ Property / cites work: Q3996911 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4308904
@@ Property / cites work: Q4308904 / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodicity for Infinite Dimensional Systems
@@ Property / cites work: Ergodicity for Infinite Dimensional Systems / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
+Normal rank
@@ Property / cites work @@
+Ergodic Properties of Markov Processes
@@ Property / cites work: Ergodic Properties of Markov Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3560913
@@ Property / cites work: Q3560913 / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of regime-switching stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Exponential return to equilibrium for hypoelliptic quadratic systems
+Normal rank
@@ Property / cites work @@
+Stochastic Processes and Applications
@@ Property / cites work: Stochastic Processes and Applications / rank @@
+Normal rank
@@ Property / cites work @@
+Molecular dynamics. With deterministic and stochastic numerical methods
+Normal rank
@@ Property / cites work @@
+Exponential convergence of Langevin distributions and their discrete approximations
+Normal rank
@@ Property / cites work @@
+Q3172405
@@ Property / cites work: Q3172405 / rank @@
+Normal rank
@@ Property / cites work @@
+Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
+Normal rank
@@ Property / cites work @@
+Q5175664
@@ Property / cites work: Q5175664 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral Methods for Uncertainty Quantification
@@ Property / cites work: Spectral Methods for Uncertainty Quantification / rank @@
+Normal rank
@@ Property / cites work @@
+Uncertainty quantification. An accelerated course with advanced applications in computational engineering
+Normal rank
@@ Property / cites work @@
+AN OVERVIEW OF NONINTRUSIVE CHARACTERIZATION, PROPAGATION, AND SENSITIVITY ANALYSIS OF UNCERTAINTIES IN COMPUTATIONAL MECHANICS
+Normal rank
@@ Property / cites work @@
+Real Analysis and Probability
@@ Property / cites work: Real Analysis and Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics in statistics. Some basic concepts.
@@ Property / cites work: Asymptotics in statistics. Some basic concepts. / rank @@
+Normal rank
@@ Property / cites work @@
+The Bernstein-von Mises theorem under misspecification
+Normal rank
@@ Property / cites work @@
+Time-domain formulation in computational dynamics for linear viscoelastic media with model uncertainties and stochastic excitation
+Normal rank
@@ Property / cites work @@
+Q5189317
@@ Property / cites work: Q5189317 / rank @@
+Normal rank
@@ Property / cites work @@
+The analysis of linear partial differential operators. III: Pseudo-differential operators
+Normal rank
@@ Property / cites work @@
+STRONG FELLER CONTINUITY OF FELLER PROCESSES AND SEMIGROUPS
+Normal rank
@@ Property / cites work @@
+Statistical inference with bivariate gamma distributions
+Normal rank
@@ Property / cites work @@
+Q4807438
@@ Property / cites work: Q4807438 / rank @@
+Normal rank