Algorithms for Kullback--Leibler Approximation of Probability Measures in Infinite Dimensions

DOI10.1137/14098171XzbMath1348.60033arXiv1408.1920MaRDI QIDQ3454461

No author found.

Publication date: 25 November 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.1920

zbMATH Keywords

algorithmsrelative entropyinverse problemsGaussian distributionselliptic PDEsconditioned diffusion processKullback-Leibler approximationMonte Carlo-Markov chain sampling

Mathematics Subject Classification ID

Gaussian processes (60G15) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Inverse problems for PDEs (35R30) Diffusion processes (60J60)

Related Items (24)

Relative entropy minimization over Hilbert spaces via Robbins-Monro ⋮ Variational Bayesian approximation of inverse problems using sparse precision matrices ⋮ Kullback--Leibler Approximation for Probability Measures on Infinite Dimensional Spaces ⋮ Algorithms for Kullback--Leibler Approximation of Probability Measures in Infinite Dimensions ⋮ Geometric MCMC for infinite-dimensional inverse problems ⋮ Gaussian Approximations for Transition Paths in Brownian Dynamics ⋮ Stein Variational Gradient Descent on Infinite-Dimensional Space and Applications to Statistical Inverse Problems ⋮ Variational Inference for Stochastic Differential Equations ⋮ An estimator for the relative entropy rate of path measures for stochastic differential equations ⋮ Diffusive Optical Tomography in the Bayesian Framework ⋮ Hierarchical off-diagonal low-rank approximation of Hessians in inverse problems, with application to ice sheet model initialization ⋮ Nonparametric inference of stochastic differential equations based on the relative entropy rate ⋮ Coarse-Graining of Overdamped Langevin Dynamics via the Mori--Zwanzig Formalism ⋮ The stochastic quasi-chemical model for bacterial growth: variational Bayesian parameter update ⋮ Adaptive dimension reduction to accelerate infinite-dimensional geometric Markov chain Monte Carlo ⋮ Gaussian Approximations for Probability Measures on $R^d$ ⋮ Non-stationary multi-layered Gaussian priors for Bayesian inversion ⋮ An Adaptive Independence Sampler MCMC Algorithm for Bayesian Inferences of Functions ⋮ On an adaptive preconditioned Crank-Nicolson MCMC algorithm for infinite dimensional Bayesian inference ⋮ On a generalization of the preconditioned Crank-Nicolson metropolis algorithm ⋮ Regularized divergences between covariance operators and Gaussian measures on Hilbert spaces ⋮ A Theoretical Examination of Diffusive Molecular Dynamics ⋮ Sparse polynomial chaos expansions using variational relevance vector machines ⋮ Variational Bayes' Method for Functions with Applications to Some Inverse Problems

Uses Software

• PRMLT

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions
• Bayesian inference with optimal maps
• Sample size selection in optimization methods for machine learning
• On the ergodicity properties of some adaptive MCMC algorithms
• Stochastic spectral methods for efficient Bayesian solution of inverse problems
• On H-valued Robbins-Monro processes
• Stochastic approximation revisited
• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
• Computing a nearest symmetric positive semidefinite matrix
• Invariant measures of stochastic partial differential equations and conditioned diffusions
• Stochastic simulation: Algorithms and analysis
• Inverse problems: A Bayesian perspective
• A Stochastic Newton MCMC Method for Large-Scale Statistical Inverse Problems with Application to Seismic Inversion
• Fast Algorithms for Bayesian Uncertainty Quantification in Large-Scale Linear Inverse Problems Based on Low-Rank Partial Hessian Approximations
• Kullback--Leibler Approximation for Probability Measures on Infinite Dimensional Spaces
• Optimal Low-rank Approximations of Bayesian Linear Inverse Problems
• Algorithms for Kullback--Leibler Approximation of Probability Measures in Infinite Dimensions
• Optimization with PDE Constraints
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• The stochastic root-finding problem
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• A Stochastic Approximation Method
• Approximation Methods which Converge with Probability one
• An adaptive Metropolis algorithm
• MCMC methods for functions: modifying old algorithms to make them faster

This page was built for publication: Algorithms for Kullback--Leibler Approximation of Probability Measures in Infinite Dimensions