Accelerating Markov Chain Monte Carlo with Active Subspaces
نویسندگان
چکیده
منابع مشابه
Accelerating Markov Chain Monte Carlo with Active Subspaces
The Markov chain Monte Carlo (MCMC) method is the computational workhorse for Bayesian inverse problems. However, MCMC struggles in high-dimensional parameter spaces, since its iterates must sequentially explore the high-dimensional space. This struggle is compounded in physical applications when the nonlinear forward model is computationally expensive. One approach to accelerate MCMC is to red...
متن کاملAccelerating Markov chain Monte Carlo via parallel predictive prefetching
We present a general framework for accelerating a large class of widely used Markov chain Monte Carlo (MCMC) algorithms. This dissertation demonstrates that MCMC inference can be accelerated in a model of parallel computation that uses speculation to predict and complete computational work ahead of when it is known to be useful. By exploiting fast, iterative approximations to the target density...
متن کاملMarkov Chain Monte Carlo
Markov chain Monte Carlo is an umbrella term for algorithms that use Markov chains to sample from a given probability distribution. This paper is a brief examination of Markov chain Monte Carlo and its usage. We begin by discussing Markov chains and the ergodicity, convergence, and reversibility thereof before proceeding to a short overview of Markov chain Monte Carlo and the use of mixing time...
متن کاملMarkov Chain Monte Carlo
This paper gives a brief introduction to Markov Chain Monte Carlo methods, which offer a general framework for calculating difficult integrals. We start with the basic theory of Markov chains and build up to a theorem that characterizes convergent chains. We then discuss the MetropolisHastings algorithm.
متن کاملMarkov chain Monte Carlo
One of the simplest and most powerful practical uses of the ergodic theory of Markov chains is in Markov chain Monte Carlo (MCMC). Suppose we wish to simulate from a probability density π (which will be called the target density) but that direct simulation is either impossible or practically infeasible (possibly due to the high dimensionality of π). This generic problem occurs in diverse scient...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2016
ISSN: 1064-8275,1095-7197
DOI: 10.1137/15m1042127