Implicit sampling, with application to data assimilation

DOI10.1007/978-3-642-41401-5_6MaRDI QIDQ5261568zbMATH OpenOpenAlexFDO

Authors Matthias Morzfeld, Xuemin Tu, Alexandre J. Chorin

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

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)

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Cited in

(9)

• Sampling, feasibility, and priors in data assimilation
• Implicit particle filters for data assimilation
• Parameter estimation by implicit sampling
• Sampling the posterior: an approach to non-Gaussian data assimilation
• Small-noise analysis and symmetrization of implicit Monte Carlo samplers
• Implicit sampling, with application to 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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