MCMC methods for sampling function space
Bayes's formulachange of measure from Gaussiancomputational complexityinverse problemLagrangian data assimilationLangevin SPDEsLangevin stochastic partial differential equationsMarkov chain Monte-Carlo(MCMC) methodsMCMCMetropolis-Hastings methodmolecular dynamicssignal processing
PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical analysis or methods applied to Markov chains (65C40) Complexity and performance of numerical algorithms (65Y20)
- Proposals which speed up function-space MCMC
- MCMC methods for functions: modifying old algorithms to make them faster
- Dimension-independent likelihood-informed MCMC
- Signal processing problems on function space: Bayesian formulation, stochastic PDEs and effective MCMC methods
- Sampling conditioned diffusions
- Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
- Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
- Proposals which speed up function-space MCMC
- Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
- Optimal tuning of the hybrid Monte Carlo algorithm
- Error bounds for Metropolis-Hastings algorithms applied to perturbations of Gaussian measures in high dimensions
- On the stability of sequential Monte Carlo methods in high dimensions
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
- Signal processing problems on function space: Bayesian formulation, stochastic PDEs and effective MCMC methods
- FEM-based discretization-invariant MCMC methods for PDE-constrained Bayesian inverse problems
- Diffusion limits of the random walk Metropolis algorithm in high dimensions
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- Monte Carlo on Manifolds: Sampling Densities and Integrating Functions
- Bayesian Inference on Local Distributions of Functions and Multidimensional Curves with Spherical HMC Sampling
- A Bayesian Approach to Estimating Background Flows from a Passive Scalar
- MCMC methods for functions: modifying old algorithms to make them faster
- Optimal friction matrix for underdamped Langevin sampling
- Ensemble collapse analysis of Tikhonov-regularized ensemble Kalman inversion in parameter estimation for nonlinear models
- Optimal scaling for the proximal Langevin algorithm in high dimensions
- Hybrid Monte Carlo on Hilbert spaces
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