Metropolized randomized maximum likelihood for improved sampling from multimodal distributions

DOI10.1137/15M1033320zbMATH Open1370.62018OpenAlexW2963333102MaRDI QIDQ5269863FDOQ5269863

Authors: Dean S. Oliver 

Publication date: 28 June 2017

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1033320

Recommendations

• On the Use of Local Optimizations within Metropolis–Hastings Updates
• Randomized maximum likelihood based posterior sampling
• A framework for adaptive MCMC targeting multimodal distributions
• Mode jumping proposals in MCMC
• Integration of Multimodal Functions by Monte Carlo Importance Sampling

zbMATH Keywords

Markov chain Monte CarloMetropolis-HastingsBayesian inferenceuncertainty quantificationindependence sampling

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

• The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Markov chains for exploring posterior distributions. (With discussion)
• The pseudo-marginal approach for efficient Monte Carlo computations
• A general framework for the parametrization of hierarchical models
• Title not available (Why is that?)
• Optimal scaling for various Metropolis-Hastings algorithms.
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Mode jumping proposals in MCMC
• On the efficiency of pseudo-marginal random walk Metropolis algorithms
• Title not available (Why is that?)
• A stochastic Newton MCMC method for large-scale statistical inverse problems with application to seismic inversion
• MCMC methods for functions: modifying old algorithms to make them faster
• Uncertainty quantification for porous media flows
• Investigation of the sampling performance of ensemble-based methods with a simple reservoir model
• Coarse-gradient Langevin algorithms for dynamic data integration and uncertainty quantification
• Minimization for conditional simulation: relationship to optimal transport
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Distributed parameter and state estimation in petroleum reservoirs
• On the flexibility of Metropolis-Hastings acceptance probabilities in auxiliary variable proposal generation
• Efficiency of the Wang-Landau algorithm: a simple test case
• AN ENSEMBLE KALMAN FILTER USING THE CONJUGATE GRADIENT SAMPLER
• Probabilistic Forecasting and Bayesian Data Assimilation
• Randomize-then-optimize: a method for sampling from posterior distributions in nonlinear inverse problems
• A Randomized Maximum A Posteriori Method for Posterior Sampling of High Dimensional Nonlinear Bayesian Inverse Problems
• On the Use of Local Optimizations within Metropolis–Hastings Updates

Cited In (16)

• Randomized maximum likelihood based posterior sampling
• Title not available (Why is that?)
• Data assimilation in truncated plurigaussian models: impact of the truncation map
• A data-space inversion procedure for well control optimization and closed-loop reservoir management
• On the Use of Local Optimizations within Metropolis–Hastings Updates
• Learning physics-based models from data: perspectives from inverse problems and model reduction
• Distributed Gauss-Newton optimization method for history matching problems with multiple best matches
• Gaussian mixture model fitting method for uncertainty quantification by conditioning to production data
• Metropolized Knockoff Sampling
• Calibration of imperfect models to biased observations
• Comparison of regularized ensemble Kalman filter and tempered ensemble transform particle filter for an elliptic inverse problem with uncertain boundary conditions
• A new technique for sampling multi-modal distributions
• Variational inference for nonlinear inverse problems via neural net kernels: comparison to Bayesian neural networks, application to topology optimization
• Optimization-Based Markov Chain Monte Carlo Methods for Nonlinear Hierarchical Statistical Inverse Problems
• Scalable Optimization-Based Sampling on Function Space
• A modified randomized maximum likelihood for improved Bayesian history matching

Uses Software

• NUTS

This page was built for publication: Metropolized randomized maximum likelihood for improved sampling from multimodal distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5269863)