Implicit Sampling, with Application to Data Assimilation

DOI10.1007/978-3-642-41401-5_6zbMath1318.65008OpenAlexW3144381959MaRDI QIDQ5261568

Matthias Morzfeld, Xuemin Tu, Alexandre Joel Chorin

Publication date: 6 July 2015

Published in: Partial Differential Equations: Theory, Control and Approximation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-41401-5_6

zbMATH Keywords

numerical integrationimportance samplingMarkov chain Monte CarloBayesian estimationdata assimilationparticle filterimplicit filter

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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