Accelerating MCMC via Kriging-based adaptive independent proposals and delayed rejection
From MaRDI portal
Publication:1988268
DOI10.1016/j.cma.2019.07.016zbMath1441.65002OpenAlexW2966514869WikidataQ127409389 ScholiaQ127409389MaRDI QIDQ1988268
Jize Zhang, Alexandros A. Taflanidis
Publication date: 16 April 2020
Published in: Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cma.2019.07.016
Markov chain Monte Carlodelayed rejectionKrigingsurrogate modelingadaptive Metropolis-HastingsAK-DRAM
Related Items (5)
Ensemble Inference Methods for Models With Noisy and Expensive Likelihoods ⋮ Bayesian structural identification using Gaussian process discrepancy models ⋮ A blackbox yield estimation workflow with Gaussian process regression applied to the design of electromagnetic devices ⋮ Probabilistic model updating via variational Bayesian inference and adaptive Gaussian process modeling ⋮ Quantify uncertainty by estimating the probability density function of the output of interest using MLMC based Bayes method
Cites Work
- Evaluation of failure probability via surrogate models
- Stochastic spectral methods for efficient Bayesian solution of inverse problems
- The random walk Metropolis: linking theory and practice through a case study
- Weak convergence and optimal scaling of random walk Metropolis algorithms
- Design and analysis of computer experiments. With comments and a rejoinder by the authors
- On Metropolis-Hastings algorithms with delayed rejection
- Accelerating pseudo-marginal MCMC using Gaussian processes
- Hamiltonian Monte Carlo acceleration using surrogate functions with random bases
- X-TMCMC: adaptive kriging for Bayesian inverse modeling
- Markov chains for exploring posterior distributions. (With discussion)
- An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
- Efficient Markov chain Monte Carlo for combined subset simulation and nonlinear finite element analysis
- Sequential approximate optimization for design under uncertainty problems utilizing Kriging metamodeling in augmented input space
- Kriging metamodeling for approximation of high-dimensional wave and surge responses in real-time storm/hurricane risk assessment
- A Bayesian inference approach to the inverse heat conduction problem
- A Strategy for Bayesian Inference for Computationally Expensive Models with Application to the Estimation of Stem Cell Properties
- Data-driven model reduction for the Bayesian solution of inverse problems
- Transport Map Accelerated Markov Chain Monte Carlo
- Handbook of Markov Chain Monte Carlo
- On an adaptive version of the Metropolis–Hastings algorithm with independent proposal distribution
- Parallel Local Approximation MCMC for Expensive Models
- Bayesian Subset Simulation
- ASYMPTOTICALLY INDEPENDENT MARKOV SAMPLING: A NEW MARKOV CHAIN MONTE CARLO SCHEME FOR BAYESIAN INFERENCE
- Equation of State Calculations by Fast Computing Machines
- A Hellinger distance approach to MCMC diagnostics
- Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
- Monte Carlo sampling methods using Markov chains and their applications
- An adaptive Metropolis algorithm
This page was built for publication: Accelerating MCMC via Kriging-based adaptive independent proposals and delayed rejection
