Bayesian updating and marginal likelihood estimation by cross entropy based importance sampling

DOI10.1016/J.JCP.2022.111746MaRDI QIDQ2106964zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 29 November 2022

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2022.111746

zbMATH Keywords

importance samplingmarginal likelihoodcross entropyBayesian updatingtemperingstratified resampling

Mathematics Subject Classification ID

Parametric inference (62Fxx) Qualitative theory for ordinary differential equations (34Cxx) Probabilistic methods, stochastic differential equations (65Cxx)

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Cites work

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Cited in

(6)

• BUAK-AIS: efficient Bayesian updating with active learning kriging-based adaptive importance sampling
• Marginal Likelihood Estimation with the Cross-Entropy Method
• A physics and data co-driven surrogate modeling method for high-dimensional rare event simulation
• Importance-Weighted Marginal Bayesian Posterior Density Estimation
• A robust method for reliability updating with equality information using sequential adaptive importance sampling
• Certified Dimension Reduction for Bayesian Updating with the Cross-Entropy Method

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