Iterative importance sampling algorithms for parameter estimation (Q4607633)

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Iterative importance sampling algorithms for parameter estimation

scientific article; zbMATH DE number 6849892

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English	Iterative importance sampling algorithms for parameter estimation	scientific article; zbMATH DE number 6849892

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instance of

scholarly article

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title

Iterative Importance Sampling Algorithms for Parameter Estimation (English)

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SIAM Journal on Scientific Computing

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publication date

14 March 2018

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full work available at URL

https://arxiv.org/abs/1608.01958

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zbMATH Keywords

importance sampling

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parameter estimation

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Bayesian inverse problem

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describes a project that uses

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MaRDI publication profile

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cites work

Randomize-then-optimize: a method for sampling from posterior distributions in nonlinear inverse problems

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Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems

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Scalable posterior approximations for large-scale Bayesian inverse problems via likelihood-informed parameter and state reduction

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Convergence of adaptive mixtures of importance sampling schemes

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Fast algorithms for Bayesian uncertainty quantification in large-scale linear inverse problems based on low-rank partial Hessian approximations

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Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply

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Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships

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Small-noise analysis and symmetrization of implicit Monte Carlo samplers

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Ensemble samplers with affine invariance

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An adaptive Metropolis algorithm

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Adaptive independent Metropolis-Hastings

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Q3802475

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Population Monte Carlo algorithm in high dimensions

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A method for the solution of certain non-linear problems in least squares

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Parameter and state model reduction for large-scale statistical inverse problems

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Sequential Monte Carlo Methods for Dynamic Systems

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Limitations of polynomial chaos expansions in the Bayesian solution of inverse problems

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An Algorithm for Least-Squares Estimation of Nonlinear Parameters

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A stochastic Newton MCMC method for large-scale statistical inverse problems with application to seismic inversion

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Sequential Monte Carlo Samplers

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A random map implementation of implicit filters

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Parameter estimation by implicit sampling

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Bayesian inference with optimal maps

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A computational framework for infinite-dimensional Bayesian inverse problems. II: stochastic Newton MCMC with application to ice sheet flow inverse problems

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MCMC using Hamiltonian dynamics

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Adaptive importance sampling in monte carlo integration

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Minimization for conditional simulation: relationship to optimal transport

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Transport map accelerated Markov chain Monte Carlo

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A multiscale strategy for Bayesian inference using transport maps

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Can local particle filters beat the curse of dimensionality?

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CAPILLARY CONDUCTION OF LIQUIDS THROUGH POROUS MEDIUMS

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Optimal Scaling of Discrete Approximations to Langevin Diffusions

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Q4828558

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MCMC methods for functions: modifying old algorithms to make them faster

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Optimal low-rank approximations of Bayesian linear inverse problems

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Iterative Bayesian inversion with Gaussian mixtures: finite sample implementation and large sample asymptotics

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Inverse Problem Theory and Methods for Model Parameter Estimation

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Nonlinear data assimilation

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Nonparametric Importance Sampling

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Identifiers

zbMATH Open document ID

1385.65007

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DOI

10.1137/16M1088417

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4607633