Sampling the posterior: an approach to non-Gaussian data assimilation
From MaRDI portal
Publication:2371192
DOI10.1016/J.PHYSD.2006.06.009zbMATH Open1113.62026OpenAlexW2161442523WikidataQ101096102 ScholiaQ101096102MaRDI QIDQ2371192FDOQ2371192
Authors: Amit Apte, A. M. Stuart, Jochen Voss, Martin Hairer 
Publication date: 29 June 2007
Published in: Physica D (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physd.2006.06.009
Recommendations
- Sampling, feasibility, and priors in data assimilation
- Implicit sampling, with application to data assimilation
- Implicit sampling, with application to data assimilation
- On stochastic parameter estimation using data assimilation
- Approximate importance sampling Monte Carlo for data assimilation
- Randomize-then-optimize: a method for sampling from posterior distributions in nonlinear inverse problems
- A Bayesian tutorial for data assimilation
- On Bayesian data assimilation for PDEs with ill-posed forward problems
- A nonstandard approach to a data assimilation problem
- A posteriori error covariances in variational data assimilation
Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of statistics to environmental and related topics (62P12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Monte Carlo strategies in scientific computing
- Stochastic Equations in Infinite Dimensions
- Optimal scaling for various Metropolis-Hastings algorithms.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic differential equations. An introduction with applications.
- Analysis of SPDEs arising in path sampling. II: The nonlinear case
- Analysis of SPDEs arising in path sampling. I: The Gaussian case
- Extracting macroscopic dynamics: model problems and algorithms
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- Handbook of stochastic methods for physics, chemistry and natural sciences.
- Title not available (Why is that?)
- Conditional path sampling of SDEs and the Langevin MCMC method
- MCMC METHODS FOR DIFFUSION BRIDGES
- A Perturbation Theory for Ergodic Markov Chains and Application to Numerical Approximations
- Title not available (Why is that?)
- Estimation, control, and the discrete Kalman filter
- Title not available (Why is that?)
- Invariant measures of stochastic partial differential equations and conditioned diffusions
- Adjoint methods in data assimilation for estimating model error
- Lagrangian data assimilation for point vortex systems
- Accelerated Monte Carlo for optimal estimation of time series
- A maximum entropy method for particle filtering
- Reciprocal diffusions in flat space
- On the perturbation expansion for the Fokker-Planck dynamics.
Cited In (35)
- Recent trends on nonlinear filtering for inverse problems
- A path integral method for data assimilation
- Sampling conditioned hypoelliptic diffusions
- Efficient nonlinear data-assimilation in geophysical fluid dynamics
- SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
- An entropic Landweber method for linear ill-posed problems
- Bayesian inference with optimal maps
- Probing robustness of nonlinear filter stability numerically using sinkhorn divergence
- Continuous-discrete smoothing of diffusions
- Resampled ensemble Kalman inversion for Bayesian parameter estimation with sequential data
- Iterative construction of Gaussian process surrogate models for Bayesian inference
- Optimal strategies for the control of autonomous vehicles in data assimilation
- Effect of discrete time observations on synchronization in Chua model and applications to data assimilation
- Model reduction of linear dynamical systems via balancing for Bayesian inference
- Multi-index ensemble Kalman filtering
- The diffusion kernel filter
- A machine learning framework for geodesics under spherical Wasserstein-Fisher-Rao metric and its application for weighted sample generation
- Bayesian diffusion process models with time-varying parameters
- Signal processing problems on function space: Bayesian formulation, stochastic PDEs and effective MCMC methods
- Analysis of SPDEs arising in path sampling. II: The nonlinear case
- Decreasing Flow Uncertainty in Bayesian Inverse Problems Through Lagrangian Drifter Control
- Data assimilation using a GPU accelerated path integral Monte Carlo approach
- Analysis of the Ensemble and Polynomial Chaos Kalman Filters in Bayesian Inverse Problems
- Joint estimation of Robin coefficient and domain boundary for the Poisson problem
- Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference
- Stochastic Sensitivity: A Computable Lagrangian Uncertainty Measure for Unsteady Flows
- Bridging the ensemble Kalman filter and particle filters: The adaptive Gaussian mixture filter
- A Defensive Marginal Particle Filtering Method for Data Assimilation
- A Bayesian tutorial for data assimilation
- Stability of non-linear filter for deterministic dynamics
- Estimating parameters in stochastic systems: A variational Bayesian approach
- Approximate importance sampling Monte Carlo for data assimilation
- Uncertainty quantification of nonlinear Lagrangian data assimilation using linear stochastic forecast models
- Bayesian estimation and entropy for economic dynamic stochastic models: an exploration of overconsumption
- Accelerating Markov chain Monte Carlo with active subspaces
Uses Software
This page was built for publication: Sampling the posterior: an approach to non-Gaussian data assimilation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2371192)
