Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals

Beskos, Alexandros; Jasra, Ajay; Law, Kody; Marzouk, Youssef; Zhou, Yan

doi:10.1137/17m1120993

Title: Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals

Journal Article · Mon Jan 01 00:00:00 EST 2018 · SIAM/ASA Journal on Uncertainty Quantification

DOI:https://doi.org/10.1137/17m1120993· OSTI ID:1541726

Beskos, Alexandros; Jasra, Ajay; Law, Kody; Marzouk, Youssef; Zhou, Yan

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Research Organization:: Massachusetts Inst. of Technology (MIT), Cambridge, MA (United States)

Sponsoring Organization:: USDOE Office of Science (SC)

DOE Contract Number:: SC0009297

OSTI ID:: 1541726

Journal Information:: SIAM/ASA Journal on Uncertainty Quantification, Vol. 6, Issue 2; ISSN 2166-2525

Publisher:: SIAM

Country of Publication:: United States

Language:: English

References (28)

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Dimension-independent likelihood-informed MCMC Cui, Tiangang; Law, Kody J. H.; Marzouk, Youssef M. Journal of Computational Physics, Vol. 304 https://doi.org/10.1016/j.jcp.2015.10.008	journal	January 2016
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Forward and Inverse Uncertainty Quantification Using Multilevel Monte Carlo Algorithms for an Elliptic Nonlocal Equation Jasra, Ajay; Law, Kody J. H.; Zhou, Yan International Journal for Uncertainty Quantification, Vol. 6, Issue 6 https://doi.org/10.1615/Int.J.UncertaintyQuantification.2016018661	journal	January 2016
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Cited By (5)

Transform-based particle filtering for elliptic Bayesian inverse problems Ruchi, S.; Dubinkina, S.; Iglesias, M. A. Inverse Problems, Vol. 35, Issue 11 https://doi.org/10.1088/1361-6420/ab30f3	journal	October 2019
Transform-based particle filtering for elliptic Bayesian inverse problems Ruchi, Sangeetika; Dubinkina, Svetlana; Iglesias, Marco arXiv https://doi.org/10.48550/arxiv.1901.04706	text	January 2019
Multilevel Sequential2 Monte Carlo for Bayesian inverse problems Latz, Jonas; Papaioannou, Iason; Ullmann, Elisabeth Journal of Computational Physics, Vol. 368 https://doi.org/10.1016/j.jcp.2018.04.014	journal	September 2018
Markov chain simulation for multilevel Monte Carlo Jasra, Ajay; Law, Kody J. H.; Xu, Yaxian Foundations of Data Science, Vol. 3, Issue 1 https://doi.org/10.3934/fods.2021004	journal	January 2021
Data-Free Likelihood-Informed Dimension Reduction of Bayesian Inverse Problems Cui, Tiangang; Zahm, Olivier arXiv https://doi.org/10.48550/arxiv.2102.13245	text	January 2021

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