Transport Map Accelerated Markov Chain Monte Carlo

DOI10.1137/17M1134640zbMath1394.65004arXiv1412.5492MaRDI QIDQ3176240

Matthew D. Parno, Youssef M. Marzouk

Publication date: 19 July 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.5492

zbMATH Keywords

adaptive MCMC; Bayesian inference; optimal transport; measure transformation; Knothe-Rosenblatt rearrangement

Mathematics Subject Classification ID

62F15: Bayesian inference

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

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