Sequential implicit sampling methods for Bayesian inverse problems

DOI10.1137/15M1044035zbMATH Open1401.65012OpenAlexW2617393987MaRDI QIDQ5269874FDOQ5269874

Authors Chen Su, Xuemin Tu

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/10.1137/15m1044035

zbMATH Keywords

optimizationdata assimilationposteriorimplicit samplingBayesian frameworksequential implicit sampling

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Inverse problems for PDEs (35R30)

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Cites work

• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• A computational framework for infinite-dimensional Bayesian inverse problems. I: The linearized case, with application to global seismic inversion
• A computational framework for infinite-dimensional Bayesian inverse problems. II: stochastic Newton MCMC with application to ice sheet flow inverse problems
• A random map implementation of implicit filters
• A sequential particle filter method for static models
• A stochastic Newton MCMC method for large-scale statistical inverse problems with application to seismic inversion
• An iterative implementation of the implicit nonlinear filter
• Data Assimilation
• Ensemble samplers with affine invariance
• Evaluation of Gaussian approximations for data assimilation in reservoir models
• Implicit particle filters for data assimilation
• Implicit sampling, with application to data assimilation
• Inverse problems: a Bayesian perspective
• Parameter estimation by implicit sampling
• Pushing the Limits of Contemporary Statistics: Contributions in Honor of Jayanta K. Ghosh
• Sequential Monte Carlo methods for Bayesian elliptic inverse problems
• Sequential Monte Carlo methods for high-dimensional inverse problems: a case study for the Navier-Stokes equations
• Stochastic tools in mathematics and science.

Cited in

(10)

• Cost free hyper-parameter selection/averaging for Bayesian inverse problems with vanilla and Rao-blackwellized SMC samplers
• Implicit particle filtering \textit{via} a bank of nonlinear Kalman filters
• Parameter estimation by implicit sampling
• Implicit sampling, with application to data assimilation
• The probability perturbation method: a new look at Bayesian inverse modeling
• Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors
• Sequential ensemble transform for Bayesian inverse problems
• Implicit sampling, with application to data assimilation
• Implicit sampling for hierarchical Bayesian inversion and applications in fractional multiscale diffusion models
• A Randomized Maximum A Posteriori Method for Posterior Sampling of High Dimensional Nonlinear Bayesian Inverse Problems

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Uses Software

• EnKF

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