Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler (Q5109769): Difference between revisions

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scientific article; zbMATH DE number 7200383

Language	Label	Description	Also known as
English	Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler	scientific article; zbMATH DE number 7200383

Statements

scholarly article

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Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler (English)

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Franca Hoffmann

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Alfredo Garbuno-Inigo

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Andrew M. Stuart

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SIAM Journal on Applied Dynamical Systems

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publication date

13 May 2020

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full work available at URL

https://arxiv.org/abs/1903.08866

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zbMATH Keywords

ensemble Kalman inversion

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Kalman-Wasserstein metric

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gradient flow

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mean-field Fokker-Planck equation

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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ON CONVEX SOBOLEV INEQUALITIES AND THE RATE OF CONVERGENCE TO EQUILIBRIUM FOR FOKKER-PLANCK TYPE EQUATIONS

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Information Geometry

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Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234

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Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

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Optimal scaling of Metropolis algorithms: Heading toward general target distributions

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An analytical framework for consensus-based global optimization method

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Particle, kinetic, and hydrodynamic models of swarming

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Exponential convergence toward equilibrium for homogeneous Fokker-Planck-type equations

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Tikhonov Regularization within Ensemble Kalman Inversion

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MCMC methods for functions: modifying old algorithms to make them faster

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Approximate McKean–Vlasov representations for a class of SPDEs

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Long-Time Stability and Accuracy of the Ensemble Kalman--Bucy Filter for Fully Observed Processes and Small Measurement Noise

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On the Stability and the Uniform Propagation of Chaos of a Class of Extended Ensemble Kalman--Bucy Filters

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On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters

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Variance reduction using nonreversible Langevin samplers

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Bayesian inference with optimal maps

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Investigation of the sampling performance of ensemble-based methods with a simple reservoir model

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Analysis of the Ensemble and Polynomial Chaos Kalman Filters in Bayesian Inverse Problems

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The ensemble Kalman filter for combined state and parameter estimation

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Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods

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Time integration and discrete Hamiltonian systems

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Ensemble samplers with affine invariance

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From particle to kinetic and hydrodynamic descriptions of flocking

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Energy-diminishing integration of gradient systems

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Kinetic methods for inverse problems

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Runge–Kutta Methods for Dissipative and Gradient Dynamical Systems

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Iterative regularization for ensemble data assimilation in reservoir models

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A regularizing iterative ensemble Kalman method for PDE-constrained inverse problems

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Ensemble Kalman methods for inverse problems

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The Variational Formulation of the Fokker--Planck Equation

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Statistical and computational inverse problems.

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Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time

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Ensemble Kalman inversion: a derivative-free technique for machine learning tasks

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The Density Manifold and Configuration Space Quantization

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Poisson's Equation in Nonlinear Filtering

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Data Assimilation

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Ensemble preconditioning for Markov chain Monte Carlo simulation

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A gentle stochastic thermostat for molecular dynamics

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Affine natural proximal learning

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Natural gradient via optimal transport

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Scaling Limit of the Stein Variational Gradient Descent: The Mean Field Regime

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Fluctuations and Irreversible Process. II. Systems with Kinetic Energy

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Filtering Complex Turbulent Systems

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Diffusion limits of the random walk Metropolis algorithm in high dimensions

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Geometric integration using discrete gradients

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Online natural gradient as a Kalman filter

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Reciprocal Relations in Irreversible Processes. I.

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Reciprocal Relations in Irreversible Processes. II.

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THE GEOMETRY OF DISSIPATIVE EVOLUTION EQUATIONS: THE POROUS MEDIUM EQUATION

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Asymptotic analysis for the generalized Langevin equation

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Discrete gradients for computational Bayesian inference

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Stochastic Processes and Applications

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Noisy gradient flow from a random walk in Hilbert space

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A dynamical systems framework for intermittent data assimilation

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A Nonparametric Ensemble Transform Method for Bayesian Inference

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Probabilistic Forecasting and Bayesian Data Assimilation

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Weak convergence and optimal scaling of random walk Metropolis algorithms

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Optimal Scaling of Discrete Approximations to Langevin Diffusions

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Optimal scaling for various Metropolis-Hastings algorithms.

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Convergence analysis of ensemble Kalman inversion: the linear, noisy case

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Analysis of the Ensemble Kalman Filter for Inverse Problems

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Bayesian Measures of Model Complexity and Fit

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Wasserstein proximal of GANs

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Kinetic models of opinion formation

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Optimal Transport

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Optimal scaling of random-walk Metropolis algorithms on general target distributions

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Feedback Particle Filter

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Identifiers

zbMATH Open document ID

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10.1137/19M1251655

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5109769

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