A nonparametric ensemble transform method for Bayesian inference
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Abstract: Many applications, such as intermittent data assimilation, lead to a recursive application of Bayesian inference within a Monte Carlo context. Popular data assimilation algorithms include sequential Monte Carlo methods and ensemble Kalman filters (EnKFs). These methods differ in the way Bayesian inference is implemented. Sequential Monte Carlo methods rely on importance sampling combined with a resampling step while EnKFs utilize a linear transformation of Monte Carlo samples based on the classic Kalman filter. While EnKFs have proven to be quite robust even for small ensemble sizes, they are not consistent since their derivation relies on a linear regression ansatz. In this paper, we propose another transform method, which does not rely on any a prior assumptions on the underlying prior and posterior distributions. The new method is based on solving an optimal transportation problem for discrete random variables.
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Cited in
(40)- On coupling particle filter trajectories
- Data-driven gradient flows
- Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference
- Sequential ensemble transform for Bayesian inverse problems
- Entropical optimal transport, Schrödinger's system and algorithms
- Localization for MCMC: sampling high-dimensional posterior distributions with local structure
- Sequential Monte Carlo with kernel embedded mappings: the mapping particle filter
- Affine-invariant ensemble transform methods for logistic regression
- Multilevel ensemble transform particle filtering
- Transport map accelerated Markov chain Monte Carlo
- Diffeomorphic density matching by optimal information transport
- Parametrization of Random Vectors in Polynomial Chaos Expansions via Optimal Transportation
- A seamless multilevel ensemble transform particle filter
- Inference via low-dimensional couplings
- Efficient derivative-free Bayesian inference for large-scale inverse problems
- Coupling techniques for nonlinear ensemble filtering
- Population Quasi-Monte Carlo
- Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
- Analysis of a localised nonlinear ensemble Kalman Bucy filter with complete and accurate observations
- Transport map accelerated adaptive importance sampling, and application to inverse problems arising from multiscale stochastic reaction networks
- Ensemble transport adaptive importance sampling
- Data assimilation: the Schrödinger perspective
- Transform-based particle filtering for elliptic Bayesian inverse problems
- Second-order Accurate Ensemble Transform Particle Filters
- A hybrid ensemble transform particle filter for nonlinear and spatially extended dynamical systems
- Hierarchical optimal transport for unsupervised domain adaptation
- Ensemble transport smoothing. I: Unified framework
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- Covariance-modulated optimal transport and gradient flows
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- Data assimilation: from mathematical and statistical foundations to applications. Abstracts from the workshop held February 23--28, 2025
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- Ensemble-regularized kernel density estimation with applications to the ensemble Gaussian mixture filter
- Scalable marginalized particle filter to improve state estimation of one-way coupled PDE systems
- Ensemble variational Fokker-Planck methods for data assimilation
- Controlled stochastic processes for simulated annealing
- A contraction theory for Sinkhorn and Schrödinger bridges via log-Sobolev inequalities
- The model forest ensemble Kalman filter
- Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter
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