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

zbMATH Keywords

numerical exampleMarkov chain Monte Carlo methoddimension reductionBayesian inverse problemsactive subspaces

Mathematics Subject Classification ID

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)

Related Items (25)

Forward and backward uncertainty quantification with active subspaces: application to hypersonic flows around a cylinder ⋮ Randomized approaches to accelerate MCMC algorithms for Bayesian inverse problems ⋮ Certified dimension reduction in nonlinear Bayesian inverse problems ⋮ Rate-optimal refinement strategies for local approximation MCMC ⋮ Generalized bounds for active subspaces ⋮ Geometric MCMC for infinite-dimensional inverse problems ⋮ Efficient parameter estimation for a methane hydrate model with active subspaces ⋮ Adaptive group Lasso neural network models for functions of few variables and time-dependent data ⋮ A unified performance analysis of likelihood-informed subspace methods ⋮ Multifidelity Dimension Reduction via Active Subspaces ⋮ Scaling Up Bayesian Uncertainty Quantification for Inverse Problems Using Deep Neural Networks ⋮ Certified Dimension Reduction for Bayesian Updating with the Cross-Entropy Method ⋮ Multiscale sampling for the inverse modeling of partial differential equations ⋮ Residual-based error correction for neural operator accelerated Infinite-dimensional Bayesian inverse problems ⋮ Multi‐fidelity data fusion through parameter space reduction with applications to automotive engineering ⋮ Online MCMC Thinning with Kernelized Stein Discrepancy ⋮ TNet: A Model-Constrained Tikhonov Network Approach for Inverse Problems ⋮ Multilevel Delayed Acceptance MCMC ⋮ Adaptive dimension reduction to accelerate infinite-dimensional geometric Markov chain Monte Carlo ⋮ Simulator-free solution of high-dimensional stochastic elliptic partial differential equations using deep neural networks ⋮ Bayesian inference of random fields represented with the Karhunen-Loève expansion ⋮ Estimating a pressure dependent thermal conductivity coefficient with applications in food technology ⋮ Functional Tucker Approximation Using Chebyshev Interpolation ⋮ Variational inference for nonlinear inverse problems via neural net kernels: comparison to Bayesian neural networks, application to topology optimization ⋮ Data-free likelihood-informed dimension reduction of Bayesian inverse problems

Uses Software

• kde2d
• Numpad
• GitHub

Cites Work

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