Noisy gradient flow from a random walk in Hilbert space
DOI10.1007/S40072-014-0029-3zbMATH Open1308.60005OpenAlexW2796089698MaRDI QIDQ487669FDOQ487669
Alexandre Thiery, Natesh S. Pillai, A. M. Stuart
Publication date: 23 January 2015
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40072-014-0029-3
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Computational methods for problems pertaining to probability theory (60-08) Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuous-time Markov processes on general state spaces (60J25) Existence theories for problems in abstract spaces (49J27)
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Cited In (9)
- Total variation flow perturbed by gradient linear multiplicative noise
- Analysis of the Ensemble Kalman Filter for Inverse Problems
- Diffusion limit for the random walk Metropolis algorithm out of stationarity
- A function space HMC algorithm with second order Langevin diffusion limit
- Optimization based methods for partially observed chaotic systems
- Non-stationary phase of the MALA algorithm
- Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
- Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler
- Non-centered parametric variational Bayes’ approach for hierarchical inverse problems of partial differential equations
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