Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference

DOI10.1007/S11222-021-10075-XzbMATH Open1482.62021arXiv2012.08848OpenAlexW3111677346MaRDI QIDQ2114054FDOQ2114054

Jiangqi Wu, Jinglai Li, Peter L. Green, Linjie Wen, Simon Maskell

Publication date: 14 March 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: Many real-world problems require one to estimate parameters of interest, in a Bayesian framework, from data that are collected sequentially in time. Conventional methods for sampling from posterior distributions, such as {Markov Chain Monte Carlo} can not efficiently address such problems as they do not take advantage of the data's sequential structure. To this end, sequential methods which seek to update the posterior distribution whenever a new collection of data become available are often used to solve these types of problems. Two popular choices of sequential method are the Ensemble Kalman filter (EnKF) and the sequential Monte Carlo sampler (SMCS). While EnKF only computes a Gaussian approximation of the posterior distribution, SMCS can draw samples directly from the posterior. Its performance, however, depends critically upon the kernels that are used. In this work, we present a method that constructs the kernels of SMCS using an EnKF formulation, and we demonstrate the performance of the method with numerical examples.

Full work available at URL: https://arxiv.org/abs/2012.08848

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zbMATH Keywords

parameter estimationsequential Bayesian inferenceensemble Kalman filtersequential Monte Carlo sampler

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05)

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Cited In (4)

• A machine learning framework for geodesics under spherical Wasserstein-Fisher-Rao metric and its application for weighted sample generation
• Component-wise iterative ensemble Kalman inversion for static Bayesian models with unknown measurement error covariance
• Improved initial sampling for the ensemble Kalman filter
• Sequential Kalman tuning of the \(t\)-preconditioned Crank-Nicolson algorithm: efficient, adaptive and gradient-free inference for Bayesian inverse problems

Uses Software

• EnKF
• BayesDA

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