Scalable Optimization-Based Sampling on Function Space (Q5112552): Difference between revisions

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scientific article; zbMATH DE number 7206728

Language	Label	Description	Also known as
English	Scalable Optimization-Based Sampling on Function Space	scientific article; zbMATH DE number 7206728

Statements

scholarly article

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Scalable Optimization-Based Sampling on Function Space (English)

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Johnathan M. Bardsley

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Youssef M. Marzouk

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SIAM Journal on Scientific Computing

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publication date

29 May 2020

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full work available at URL

https://arxiv.org/abs/1903.00870

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zbMATH Keywords

Markov chain Monte Carlo

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Metropolis independence sampling

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Bayesian inference

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infinite-dimensional inverse problems

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transport maps

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MaRDI profile type

MaRDI publication profile

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Importance sampling: intrinsic dimension and computational cost

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Randomize-Then-Optimize: A Method for Sampling from Posterior Distributions in Nonlinear Inverse Problems

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Geometric MCMC for infinite-dimensional inverse problems

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MCMC METHODS FOR DIFFUSION BRIDGES

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Handbook of Markov Chain Monte Carlo

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A Computational Framework for Infinite-Dimensional Bayesian Inverse Problems Part I: The Linearized Case, with Application to Global Seismic Inversion

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Implicit particle filters for data assimilation

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On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds

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An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds

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Parallel Local Approximation MCMC for Expensive Models

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

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Dimension-independent likelihood-informed MCMC

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Likelihood-informed dimension reduction for nonlinear inverse problems

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Scalable posterior approximations for large-scale Bayesian inverse problems via likelihood-informed parameter and state reduction

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A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow

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Fast Algorithms for Bayesian Uncertainty Quantification in Large-Scale Linear Inverse Problems Based on Low-Rank Partial Hessian Approximations

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Complexity analysis of accelerated MCMC methods for Bayesian inversion

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Multilevel Monte Carlo Path Simulation

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Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods

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Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions

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Statistical and computational inverse problems.

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An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach

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A Stochastic Newton MCMC Method for Large-Scale Statistical Inverse Problems with Application to Seismic Inversion

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Diffusion limits of the random walk Metropolis algorithm in high dimensions

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Rates of convergence of the Hastings and Metropolis algorithms

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A random map implementation of implicit filters

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Metropolized Randomized Maximum Likelihood for Improved Sampling from Multimodal Distributions

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Transport Map Accelerated Markov Chain Monte Carlo

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Optimal Model Management for Multifidelity Monte Carlo Estimation

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A Computational Framework for Infinite-Dimensional Bayesian Inverse Problems, Part II: Stochastic Newton MCMC with Application to Ice Sheet Flow Inverse Problems

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An introduction to infinite-dimensional analysis

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Weak convergence and optimal scaling of random walk Metropolis algorithms

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Exponential convergence of Langevin distributions and their discrete approximations

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On a generalization of the preconditioned Crank-Nicolson metropolis algorithm

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Optimal Low-rank Approximations of Bayesian Linear Inverse Problems

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Inverse problems: A Bayesian perspective

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A note on Metropolis-Hastings kernels for general state spaces

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A Randomized Maximum A Posteriori Method for Posterior Sampling of High Dimensional Nonlinear Bayesian Inverse Problems

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Bayesian Inverse Problems with $l_1$ Priors: A Randomize-Then-Optimize Approach

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Certified dimension reduction in nonlinear Bayesian inverse problems

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Identifiers

zbMATH Open document ID

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10.1137/19M1245220

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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:5112552

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