Dimension-independent likelihood-informed MCMC

DOI10.1016/j.jcp.2015.10.008zbMath1349.65009arXiv1411.3688OpenAlexW2142737094MaRDI QIDQ2374891

Kody J. H. Law, Tiangang Cui, Youssef M. Marzouk

Publication date: 5 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.3688

zbMATH Keywords

Markov chain Monte Carloinfinite-dimensional inverse problemsconditioned diffusionLangevin SDElikelihood-informed subspace

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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