Sequential Implicit Sampling Methods for Bayesian Inverse Problems

DOI10.1137/15M1044035zbMATH Open1401.65012OpenAlexW2617393987MaRDI QIDQ5269874FDOQ5269874

Xuemin Tu, Chen Su

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)

Cites Work

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• Title not available (Why is that?)
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• A sequential particle filter method for static models
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• Data Assimilation
• Implicit particle filters for data assimilation
• Parameter estimation by implicit sampling
• A stochastic Newton MCMC method for large-scale statistical inverse problems with application to seismic inversion
• Sequential Monte Carlo Methods for High-Dimensional Inverse Problems: A Case Study for the Navier--Stokes Equations
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• Sequential Monte Carlo methods for Bayesian elliptic inverse problems
• Pushing the Limits of Contemporary Statistics: Contributions in Honor of Jayanta K. Ghosh
• An iterative implementation of the implicit nonlinear filter
• A Computational Framework for Infinite-Dimensional Bayesian Inverse Problems, Part II: Stochastic Newton MCMC with Application to Ice Sheet Flow Inverse Problems
• Evaluation of Gaussian approximations for data assimilation in reservoir models
• Implicit sampling, with application to data assimilation

Cited In (6)

• A Randomized Maximum A Posteriori Method for Posterior Sampling of High Dimensional Nonlinear Bayesian Inverse Problems
• Sequential ensemble transform for Bayesian inverse problems
• Cost free hyper-parameter selection/averaging for Bayesian inverse problems with vanilla and Rao-blackwellized SMC samplers
• Implicit sampling for hierarchical Bayesian inversion and applications in fractional multiscale diffusion models
• Implicit particle filtering \textit{via} a bank of nonlinear Kalman filters
• Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors

Uses Software

• EnKF

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