Minimization for conditional simulation: relationship to optimal transport

DOI10.1016/J.JCP.2014.01.048MaRDI QIDQ348953zbMATHOpenAlexFDO

Authors Dean S. Oliver

Publication date 5 December 2016

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2014.01.048

zbMATH Keywords

optimal transportquasi-linearensemble Kalman filterconditional simulationensemble smootheriterative EnKFrandomized maximum likelihood

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Inference from stochastic processes and prediction (62M20)

Recommendations

• Randomized maximum likelihood based posterior sampling
• Fast update of conditional simulation ensembles
• Bayesian inference with optimal maps
• Conditional density estimation and simulation through optimal transport
• Conditional simulation of non-Gaussian random functions

Cites work

• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• A characterization of random variables with minimum \(L^ 2\)-distance
• A dynamical systems framework for intermittent data assimilation
• A random map implementation of implicit filters
• Bayesian inference with optimal maps
• Ensemble filter techniques for intermittent data assimilation - a survey
• Exact solutions to the transportation problem on the line
• Implicit particle filters for data assimilation
• Investigation of the sampling performance of ensemble-based methods with a simple reservoir model
• Levenberg-Marquardt forms of the iterative ensemble smoother for efficient history matching and uncertainty quantification
• Mixed \(L^2\)-Wasserstein optimal mapping between prescribed density functions
• On the optimal mapping of distributions
• Optimal mass transport for registration and warping
• Regularity of optimal transportation between spaces with different dimensions
• The distance between two random vectors wigh given dispersion matrices
• The geometry of optimal transportation

Cited in

(13)

• Minimax estimation of smooth optimal transport maps
• Metropolized randomized maximum likelihood for improved sampling from multimodal distributions
• Entropical optimal transport, Schrödinger's system and algorithms
• Investigation on principal component analysis parameterizations for history matching channelized facies models with ensemble-based data assimilation
• Calibration of imperfect models to biased observations
• Data assimilation in truncated plurigaussian models: impact of the truncation map
• Conditional density estimation and simulation through optimal transport
• Fast update of conditional simulation ensembles
• Regularized kernel PCA for the efficient parameterization of complex geological models
• A modified randomized maximum likelihood for improved Bayesian history matching
• A Randomized Maximum A Posteriori Method for Posterior Sampling of High Dimensional Nonlinear Bayesian Inverse Problems
• Iterative importance sampling algorithms for parameter estimation
• History matching of dual continuum reservoirs-preserving consistency with the fracture model

This page was built for publication: Minimization for conditional simulation: relationship to optimal transport

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q348953)