Ensemble sampler for infinite-dimensional inverse problems
From MaRDI portal
Publication:2058734
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.
Recommendations
- An efficient sampling method for stochastic inverse problems
- Hybrid samplers for ill-posed inverse problems
- Ensemble samplers with affine invariance
- Ensemble Kalman methods for inverse problems
- Sampling linear inverse problems with noise
- Efficient Gaussian Sampling for Solving Large-Scale Inverse Problems Using MCMC
- A survey on sampling and probe methods for inverse problems
- Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors
- Ensemble Kalman filter for multiscale inverse problems
- Regularized ensemble Kalman methods for inverse problems
Cites work
- A hybrid adaptive MCMC algorithm in function spaces
- Accelerated dimension-independent adaptive metropolis
- Dimension-independent likelihood-informed MCMC
- Ensemble samplers with affine invariance
- Equation of state calculations by fast computing machines
- Geometric MCMC for infinite-dimensional inverse problems
- scientific article; zbMATH DE number 1124118 (Why is no real title available?)
- Inverse problems: a Bayesian perspective
- Likelihood-informed dimension reduction for nonlinear inverse problems
- MCMC METHODS FOR DIFFUSION BRIDGES
- MCMC methods for functions: modifying old algorithms to make them faster
- Multilevel sequential Monte Carlo with dimension-independent likelihood-informed proposals
- On a generalization of the preconditioned Crank-Nicolson metropolis algorithm
- On an adaptive preconditioned Crank-Nicolson MCMC algorithm for infinite dimensional Bayesian inference
- Proposals which speed up function-space MCMC
- Sequential Monte Carlo methods for high-dimensional inverse problems: a case study for the Navier-Stokes equations
- Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions
- The Bayesian formulation of EIT: analysis and algorithms
- Well-posed Bayesian geometric inverse problems arising in subsurface flow
Cited in
(19)- Ensemble samplers with affine invariance
- Geometric MCMC for infinite-dimensional inverse problems
- Ensemble slice sampling. Parallel, black-box and gradient-free inference for correlated \& multimodal distributions
- Localization for MCMC: sampling high-dimensional posterior distributions with local structure
- Dimension-independent likelihood-informed MCMC
- A computational framework for infinite-dimensional Bayesian inverse problems. II: stochastic Newton MCMC with application to ice sheet flow inverse problems
- Hybrid samplers for ill-posed inverse problems
- The use of transinformation in the design of data sampling schemes for inverse problems
- An Adaptive Independence Sampler MCMC Algorithm for Bayesian Inferences of Functions
- Affine invariant interacting Langevin dynamics for Bayesian inference
- Ensemble Markov chain Monte Carlo with teleporting walkers
- Stein variational gradient descent on infinite-dimensional space and applications to statistical inverse problems
- Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
- Properties of the affine‐invariant ensemble sampler's ‘stretch move’ in high dimensions
- Ensemble-Based Gradient Inference for Particle Methods in Optimization and Sampling
- A two-stage Bayesian model updating framework based on an iterative model reduction technique using modal responses
- Less interaction with forward models in Langevin dynamics: enrichment and homotopy
- Uncertainty quantification in scientific computing: a short introduction
- Metropolis-adjusted interacting particle sampling
This page was built for publication: Ensemble sampler for infinite-dimensional inverse problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2058734)
