Implicit sampling, with application to data assimilation

DOI10.1007/978-3-642-41401-5_6zbMATH Open1318.65008OpenAlexW3144381959MaRDI QIDQ5261568FDOQ5261568

Matthias Morzfeld, Alexandre J. Chorin, Xuemin Tu

Publication date: 6 July 2015

Published in: Partial Differential Equations: Theory, Control and Approximation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-41401-5_6

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zbMATH Keywords

Markov chain Monte Carlodata assimilationimportance samplingnumerical integrationparticle filterBayesian estimationimplicit filter

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sampling theory, sample surveys (62D05) Inference from stochastic processes and prediction (62M20)

Cited In (4)

• Sampling the posterior: an approach to non-Gaussian data assimilation
• Parameter sampling capabilities of sequential and simultaneous data assimilation: I. Analytical comparison
• Parameter sampling capabilities of sequential and simultaneous data assimilation: II. Statistical analysis of numerical results
• Sampling Strategies for Data-Driven Inference of Input–Output System Properties

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