Accelerating Markov Chain Monte Carlo with Active Subspaces
DOI10.1137/15M1042127zbMath1348.65010arXiv1510.00024MaRDI QIDQ2818262
Tan Bui-Thanh, Carson Kent, Paul G. Constantine
Publication date: 7 September 2016
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.00024
numerical exampleMarkov chain Monte Carlo methoddimension reductionBayesian inverse problemsactive subspaces
Computational methods in Markov chains (60J22) Bayesian problems; characterization of Bayes procedures (62C10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
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