Accelerating Metropolis-within-Gibbs sampler with localized computations of differential equations

DOI10.1007/s11222-020-09934-wzbMath1447.62135arXiv1906.10541OpenAlexW3009831839MaRDI QIDQ2195847

Qiang Liu, Xin Thomson Tong

Publication date: 27 August 2020

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

Full work available at URL: https://arxiv.org/abs/1906.10541

zbMATH Keywords

fourth-order Runge-Kutta methodhigh-dimensional dataBayesian inverse problemMetropolis-within-Gibbs samplingcomputation efficiencybanded covariance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Statistical aspects of big data and data science (62R07)

Related Items (3)

Convergence acceleration of ensemble Kalman inversion in nonlinear settings ⋮ A CVAE-within-Gibbs sampler for Bayesian linear inverse problems with hyperparameters ⋮ MALA-within-Gibbs Samplers for High-Dimensional Distributions with Sparse Conditional Structure

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