Multi-index sequential Monte Carlo ratio estimators for Bayesian inverse problems
From MaRDI portal
Publication:6592117
DOI10.1007/S10208-023-09612-ZzbMATH Open1545.6501MaRDI QIDQ6592117
Shangda Yang, Kody Law, Ajay Jasra, Neil Walton
Publication date: 24 August 2024
Published in: Foundations of Computational Mathematics (Search for Journal in Brave)
Computational methods in Markov chains (60J22) Inference from spatial processes (62M30) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical solution to inverse problems in abstract spaces (65J22)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Multi-index Monte Carlo: when sparsity meets sampling
- Multilevel sequential Monte Carlo samplers
- A note on Metropolis-Hastings kernels for general state spaces
- The sample size required in importance sampling
- Importance sampling: intrinsic dimension and computational cost
- Theory and practice of finite elements.
- Multilevel ensemble Kalman filtering for spatio-temporal processes
- Unbiased estimation of the gradient of the log-likelihood in inverse problems
- Multilevel particle filters for the non-linear filtering problem in continuous time
- Controlled sequential Monte Carlo
- Multilevel particle filters for Lévy-driven stochastic differential equations
- Posterior consistency of logistic Gaussian process priors in density estimation
- Multilevel ensemble transform particle filtering
- Multilevel ensemble Kalman filtering
- Complexity analysis of accelerated MCMC methods for Bayesian inversion
- Finite elements and fast iterative solvers. With applications in incompressible fluid dynamics
- Inverse problems: a Bayesian perspective
- An Introduction to Computational Stochastic PDEs
- Multilevel Monte Carlo Methods
- Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
- Sequential Monte Carlo Samplers
- A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
- Algorithm 866
- Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems
- Probability with Martingales
- Log Gaussian Cox Processes
- A sequential particle filter method for static models
- Multilevel Particle Filters
- Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo
- Unbiased Hamiltonian Monte Carlo with couplings
- Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions
- Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
- A MULTI-INDEX MARKOV CHAIN MONTE CARLO METHOD
- MULTI-INDEX SEQUENTIAL MONTE CARLO METHODS FOR PARTIALLY OBSERVED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
- An Introduction to Sequential Monte Carlo
- Stochastic Processes and Applications
- Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems
- Sparse grids
- Finite Elements
- MCMC methods for functions: modifying old algorithms to make them faster
- Stochastic differential equations. An introduction with applications.
- Multilevel Sequential Monte Carlo Samplers for Normalizing Constants
This page was built for publication: Multi-index sequential Monte Carlo ratio estimators for Bayesian inverse problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6592117)