Ensemble Kalman Sampler: Mean-field Limit and Convergence Analysis
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Publication:5858114
DOI10.1137/20M1339507zbMath1468.35205arXiv1910.12923OpenAlexW3138739191MaRDI QIDQ5858114
Publication date: 9 April 2021
Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.12923
Bayesian inference (62F15) Statistical sampling theory and related topics (62D99) Inverse problems for PDEs (35R30) Existence problems for PDEs: global existence, local existence, non-existence (35A01) PDEs with randomness, stochastic partial differential equations (35R60) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Fokker-Planck equations (35Q84)
Related Items (10)
Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis ⋮ Adaptive Tikhonov strategies for stochastic ensemble Kalman inversion ⋮ Constrained ensemble Langevin Monte Carlo ⋮ Iterated Kalman methodology for inverse problems ⋮ Localized ensemble Kalman inversion ⋮ Component-wise iterative ensemble Kalman inversion for static Bayesian models with unknown measurement error covariance ⋮ Hierarchical ensemble Kalman methods with sparsity-promoting generalized gamma hyperpriors ⋮ Iterative ensemble Kalman methods: a unified perspective with some new variants ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications ⋮ Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
Uses Software
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