Ensemble sampler for infinite-dimensional inverse problems
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Publication:2058734
DOI10.1007/S11222-021-10004-YzbMATH Open1475.62024arXiv2010.15181OpenAlexW4287629002MaRDI QIDQ2058734FDOQ2058734
Authors: Jeremie Coullon, Robert J. Webber 
Publication date: 9 December 2021
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: We introduce a new Markov chain Monte Carlo (MCMC) sampler for infinite-dimensional inverse problems. Our new sampler is based on the affine invariant ensemble sampler, which uses interacting walkers to adapt to the covariance structure of the target distribution. We extend this ensemble sampler for the first time to infinite-dimensional function spaces, yielding a highly efficient gradient-free MCMC algorithm. Because our new ensemble sampler does not require gradients or posterior covariance estimates, it is simple to implement and broadly applicable.
Full work available at URL: https://arxiv.org/abs/2010.15181
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Cited In (16)
- The use of transinformation in the design of data sampling schemes for inverse problems
- Hybrid samplers for ill-posed inverse problems
- Stein variational gradient descent on infinite-dimensional space and applications to statistical inverse problems
- Less interaction with forward models in Langevin dynamics: enrichment and homotopy
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