A transport-based multifidelity preconditioner for Markov chain Monte Carlo (Q2305532): Difference between revisions

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scientific article

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English	A transport-based multifidelity preconditioner for Markov chain Monte Carlo	scientific article

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scholarly article

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A transport-based multifidelity preconditioner for Markov chain Monte Carlo (English)

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Benjamin Peherstorfer

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Youssef M. Marzouk

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Advances in Computational Mathematics

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publication date

11 March 2020

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full work available at URL

https://arxiv.org/abs/1808.09379

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https://hdl.handle.net/1721.1/126341

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zbMATH Keywords

Bayesian inverse problems

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transport maps

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multifidelity

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model reduction

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Markov chain Monte Carlo

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describes a project that uses

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MaRDI profile type

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A MATHEMATICAL AND COMPUTATIONAL FRAMEWORK FOR MULTIFIDELITY DESIGN AND ANALYSIS WITH COMPUTER MODELS

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A Survey of Projection-Based Model Reduction Methods for Parametric Dynamical Systems

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Multilevel sequential Monte Carlo samplers

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From Knothe's Rearrangement to Brenier's Optimal Transport Map

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A fast Monte-Carlo method with a reduced basis of control variates applied to uncertainty propagation and Bayesian estimation

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A variance reduction method for parametrized stochastic differential equations using the reduced basis paradigm

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Handbook of Markov Chain Monte Carlo

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From Knothe's Transport to Brenier's Map and a Continuation Method for Optimal Transport

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Accurate and efficient evaluation of failure probability for partial different equations with random input data

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Reduced Basis Methods for Uncertainty Quantification

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Sparse-grid, reduced-basis Bayesian inversion

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Parallel Local Approximation MCMC for Expensive Models

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Support-vector networks

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Approximation of Bayesian Inverse Problems for PDEs

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Data-driven model reduction for the Bayesian solution of inverse problems

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

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The ROMES Method for Statistical Modeling of Reduced-Order-Model Error

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Preconditioning Markov Chain Monte Carlo Simulations Using Coarse-Scale Models

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A Survey of Model Reduction by Balanced Truncation and Some New Results

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An adaptive Metropolis algorithm

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Statistical and computational inverse problems.

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Multilevel sequential Monte Carlo for Bayesian inverse problems

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Adaptive Construction of Surrogates for the Bayesian Solution of Inverse Problems

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Parameter and State Model Reduction for Large-Scale Statistical Inverse Problems

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Monte Carlo strategies in scientific computing.

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Accurate Solution of Bayesian Inverse Uncertainty Quantification Problems Combining Reduced Basis Methods and Reduction Error Models

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Dimensionality reduction and polynomial chaos acceleration of Bayesian inference in inverse problems

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Stochastic spectral methods for efficient Bayesian solution of inverse problems

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Bayesian inference with optimal maps

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Multifidelity approaches for optimization under uncertainty

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Transport Map Accelerated Markov Chain Monte Carlo

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Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models

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Multifidelity importance sampling

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Multifidelity Preconditioning of the Cross-Entropy Method for Rare Event Simulation and Failure Probability Estimation

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Optimal Model Management for Multifidelity Monte Carlo Estimation

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Survey of Multifidelity Methods in Uncertainty Propagation, Inference, and Optimization

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Spatially adaptive sparse grids for high-dimensional data-driven problems

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Multifidelity Monte Carlo Estimation of Variance and Sensitivity Indices

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Remarks on a Multivariate Transformation

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Greedy algorithms for matrix-valued kernels

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Turbulence and the dynamics of coherent structures. I. Coherent structures

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Introduction to Stochastic Search and Optimization

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Inverse problems: A Bayesian perspective

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Markov chains for exploring posterior distributions. (With discussion)

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Long history of the Monge-Kantorovich transportation problem

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Optimal Transport

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Using Bayesian statistics in the estimation of heat source in radiation

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Identifiers

10.1007/s10444-019-09711-y

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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