Conditional path sampling of SDEs and the Langevin MCMC method
From MaRDI portal
Publication:2583409
DOI10.4310/CMS.2004.v2.n4.a7zbMath1082.65004OpenAlexW2015626078MaRDI QIDQ2583409
Andrew M. Stuart, Jochen Voss, Petter Wiberg
Publication date: 16 January 2006
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/cms.2004.v2.n4.a7
Markov chain Monte Carlo methodpath samplingKalman filterBayesian statisticsnonlinear filternonlinear smoothers
Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Sampling the posterior: an approach to non-Gaussian data assimilation, Retrospective exact simulation of diffusion sample paths with applications, FEM-based discretization-invariant MCMC methods for PDE-constrained Bayesian inverse problems, Computation of free energy differences through nonequilibrium stochastic dynamics: The reaction coordinate case, Bayesian estimation of incompletely observed diffusions, Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions, Application of the two-stage Markov chain Monte Carlo method for characterization of fractured reservoirs using a surrogate flow model, Residual-based error correction for neural operator accelerated Infinite-dimensional Bayesian inverse problems, Metadynamics for Transition Paths in Irreversible Dynamics, A statistical framework for domain shape estimation in Stokes flows, Estimating parameters in stochastic systems: A variational Bayesian approach, MCMC METHODS FOR DIFFUSION BRIDGES, Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations, SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations, A Multiresolution Method for Parameter Estimation of Diffusion Processes, Analysis of SPDEs arising in path sampling. II: The nonlinear case, Sampling conditioned hypoelliptic diffusions, Reactive trajectories and the transition path process, Measuring sample quality with diffusions, Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions, Randomize-Then-Optimize for Sampling and Uncertainty Quantification in Electrical Impedance Tomography, MCMC methods for functions: modifying old algorithms to make them faster, Fitting nonlinear ordinary differential equation models with random effects and unknown initial conditions using the stochastic approximation expectation-maximization (SAEM) algorithm, Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis, Simulation of forward-reverse stochastic representations for conditional diffusions, Particle filtering with path sampling and an application to a bimodal ocean current model, Variational inference for nonlinear inverse problems via neural net kernels: comparison to Bayesian neural networks, application to topology optimization
