Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
From MaRDI portal
Publication:3176244
DOI10.1137/17M1120993zbMath1395.82229arXiv1703.04866MaRDI QIDQ3176244
Yan Zhou, Youssef M. Marzouk, Alexandros Beskos, Ajay Jasra, Kody J. H. Law
Publication date: 19 July 2018
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.04866
sequential Monte Carlo; uncertainty quantification; Bayesian inverse problem; multilevel Monte Carlo
62F15: Bayesian inference
65C05: Monte Carlo methods
60K35: Interacting random processes; statistical mechanics type models; percolation theory
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