Algorithms for Kullback--Leibler Approximation of Probability Measures in Infinite Dimensions

DOI10.1137/14098171XzbMath1348.60033arXiv1408.1920MaRDI QIDQ3454461

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Publication date: 25 November 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.1920

zbMATH Keywords

algorithmsrelative entropyinverse problemsGaussian distributionselliptic PDEsconditioned diffusion processKullback-Leibler approximationMonte Carlo-Markov chain sampling

Mathematics Subject Classification ID

Related Items (24)

Relative entropy minimization over Hilbert spaces via Robbins-Monro ⋮ Variational Bayesian approximation of inverse problems using sparse precision matrices ⋮ Kullback--Leibler Approximation for Probability Measures on Infinite Dimensional Spaces ⋮ Algorithms for Kullback--Leibler Approximation of Probability Measures in Infinite Dimensions ⋮ Geometric MCMC for infinite-dimensional inverse problems ⋮ Gaussian Approximations for Transition Paths in Brownian Dynamics ⋮ Stein Variational Gradient Descent on Infinite-Dimensional Space and Applications to Statistical Inverse Problems ⋮ Variational Inference for Stochastic Differential Equations ⋮ An estimator for the relative entropy rate of path measures for stochastic differential equations ⋮ Diffusive Optical Tomography in the Bayesian Framework ⋮ Hierarchical off-diagonal low-rank approximation of Hessians in inverse problems, with application to ice sheet model initialization ⋮ Nonparametric inference of stochastic differential equations based on the relative entropy rate ⋮ Coarse-Graining of Overdamped Langevin Dynamics via the Mori--Zwanzig Formalism ⋮ The stochastic quasi-chemical model for bacterial growth: variational Bayesian parameter update ⋮ Adaptive dimension reduction to accelerate infinite-dimensional geometric Markov chain Monte Carlo ⋮ Gaussian Approximations for Probability Measures on $R^d$ ⋮ Non-stationary multi-layered Gaussian priors for Bayesian inversion ⋮ An Adaptive Independence Sampler MCMC Algorithm for Bayesian Inferences of Functions ⋮ On an adaptive preconditioned Crank-Nicolson MCMC algorithm for infinite dimensional Bayesian inference ⋮ On a generalization of the preconditioned Crank-Nicolson metropolis algorithm ⋮ Regularized divergences between covariance operators and Gaussian measures on Hilbert spaces ⋮ A Theoretical Examination of Diffusive Molecular Dynamics ⋮ Sparse polynomial chaos expansions using variational relevance vector machines ⋮ Variational Bayes' Method for Functions with Applications to Some Inverse Problems

Uses Software

• PRMLT

Cites Work

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