A nonparametric ensemble transform method for Bayesian inference
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Publication:2855653
Abstract: Many applications, such as intermittent data assimilation, lead to a recursive application of Bayesian inference within a Monte Carlo context. Popular data assimilation algorithms include sequential Monte Carlo methods and ensemble Kalman filters (EnKFs). These methods differ in the way Bayesian inference is implemented. Sequential Monte Carlo methods rely on importance sampling combined with a resampling step while EnKFs utilize a linear transformation of Monte Carlo samples based on the classic Kalman filter. While EnKFs have proven to be quite robust even for small ensemble sizes, they are not consistent since their derivation relies on a linear regression ansatz. In this paper, we propose another transform method, which does not rely on any a prior assumptions on the underlying prior and posterior distributions. The new method is based on solving an optimal transportation problem for discrete random variables.
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(30)- Transport map accelerated Markov chain Monte Carlo
- Differentiable particle filters with smoothly jittered resampling
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- Efficient derivative-free Bayesian inference for large-scale inverse problems
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- Parametrization of Random Vectors in Polynomial Chaos Expansions via Optimal Transportation
- Ensemble transport smoothing. I: Unified framework
- A hybrid ensemble transform particle filter for nonlinear and spatially extended dynamical systems
- Data assimilation: the Schrödinger perspective
- Sequential ensemble transform for Bayesian inverse problems
- A seamless multilevel ensemble transform particle filter
- Entropical optimal transport, Schrödinger's system and algorithms
- Transform-based particle filtering for elliptic Bayesian inverse problems
- Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
- Analysis of a localised nonlinear ensemble Kalman Bucy filter with complete and accurate observations
- Inference via low-dimensional couplings
- Diffeomorphic density matching by optimal information transport
- Localization for MCMC: sampling high-dimensional posterior distributions with local structure
- Sequential Monte Carlo with kernel embedded mappings: the mapping particle filter
- Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference
- Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter
- Hierarchical optimal transport for unsupervised domain adaptation
- Second-order Accurate Ensemble Transform Particle Filters
- Covariance-modulated optimal transport and gradient flows
- Ensemble transport adaptive importance sampling
- Transport map accelerated adaptive importance sampling, and application to inverse problems arising from multiscale stochastic reaction networks
- Multilevel ensemble transform particle filtering
- On coupling particle filter trajectories
- Affine-invariant ensemble transform methods for logistic regression
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