A nonparametric ensemble transform method for Bayesian inference
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Publication:2855653
DOI10.1137/130907367zbMATH Open1362.65007arXiv1210.0375OpenAlexW2066601679MaRDI QIDQ2855653FDOQ2855653
Authors: Sebastian Reich 
Publication date: 28 October 2013
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1210.0375
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Bayesian inference (62F15) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Applications of mathematical programming (90C90) Filtering in stochastic control theory (93E11) Inverse problems in geophysics (86A22)
Cited In (30)
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- Entropical optimal transport, Schrödinger's system and algorithms
- Transform-based particle filtering for elliptic Bayesian inverse problems
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- Localization for MCMC: sampling high-dimensional posterior distributions with local structure
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- 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
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- 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
- Transport map accelerated Markov chain Monte Carlo
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