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Fokker-Planck particle systems for Bayesian inference: computational approaches

Bayesian inference can be embedded into an appropriately defined dynamics in the space of probability measures. In this paper, we take Brownian motion and its associated Fokker--Planck equation as a starting point for such embeddings and explore several interacting particle approximations. More spec...

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Hauptverfasser: Reich, Sebastian (VerfasserIn) , Weissmann, Simon (VerfasserIn)
Dokumenttyp: Article (Journal)
Sprache:Englisch
Veröffentlicht: April 26, 2021
In: SIAM ASA journal on uncertainty quantification
Year: 2021, Jahrgang: 9, Heft: 2, Pages: 446-482
ISSN:2166-2525
DOI:10.1137/19M1303162
Online-Zugang:Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1137/19M1303162
Verlag, lizenzpflichtig, Volltext: https://epubs.siam.org/doi/10.1137/19M1303162
Volltext
Verfasserangaben:Sebastian Reich and Simon Weissmann

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