Accelerated Dimension-Independent Adaptive Metropolis
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Publication:2830629
DOI10.1137/15M1026432zbMath1352.65029arXiv1506.05741OpenAlexW3100328536MaRDI QIDQ2830629
Yuxin Chen, Hatem Ltaief, Kody J. H. Law, David E. Keyes
Publication date: 28 October 2016
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.05741
algorithmconvergencenumerical exampleMarkov chain Monte Carloparallel computationhigh performance computingBayesian inferenceMetropolis-Hastingsbig dataGPU accelerationadaptive Metropolisblas
Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Parallel numerical computation (65Y05) Complexity and performance of numerical algorithms (65Y20)
Related Items (7)
Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals ⋮ Certified dimension reduction in nonlinear Bayesian inverse problems ⋮ MALA-within-Gibbs Samplers for High-Dimensional Distributions with Sparse Conditional Structure ⋮ A Hybrid Adaptive MCMC Algorithm in Function Spaces ⋮ On an adaptive preconditioned Crank-Nicolson MCMC algorithm for infinite dimensional Bayesian inference ⋮ Ergodicity of Markov chain Monte Carlo with reversible proposal ⋮ Ensemble sampler for infinite-dimensional inverse problems
Uses Software
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