Accurate Computation of Conditional Expectation for Highly Nonlinear Problems

DOI10.1137/18M1196674zbMath1436.62101arXiv1806.03234MaRDI QIDQ4960978

Hermann G. Matthies, Jaroslav Vondřejc

Publication date: 24 April 2020

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

Full work available at URL: https://arxiv.org/abs/1806.03234

zbMATH Keywords

inverse problemconditional expectationconditional probabilityBayesian updatingconditioned quantities

Mathematics Subject Classification ID

Bayesian inference (62F15) Inverse problems for PDEs (35R30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (2)

Collocation Methods and Beyond in Non-linear Mechanics ⋮ Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation

Uses Software

• Algorithm 691

Cites Work

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• Parameter estimation for mechanical systems via an explicit representation of uncertainty
• Analysis of the Ensemble and Polynomial Chaos Kalman Filters in Bayesian Inverse Problems
• Algorithm 691: Improving QUADPACK automatic integration routines
• Inverse Problem Theory and Methods for Model Parameter Estimation
• Bayesian Inverse Problems and Kalman Filters
• Probability Theory with Applications
• Probability

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