Riis, Nicolai A. B.; Alghamdi, Amal M. A.; Uribe, Felipe; Christensen, Silja L.; Afkham, Babak M.; Hansen, Per Christian; Jørgensen, Jakob S. CUQIpy. I: Computational uncertainty quantification for inverse problems in Python. (English) Zbl 07813323 Inverse Probl. 40, No. 4, Article ID 045009, 37 p. (2024). MSC: 68Qxx 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chak, Martin; Kantas, Nikolas; Lelièvre, Tony; Pavliotis, Grigorios A. Optimal friction matrix for underdamped Langevin sampling. (English) Zbl 1537.60098 ESAIM, Math. Model. Numer. Anal. 57, No. 6, 3335-3371 (2023). Reviewer: Eugen Paltanea (Braşov) MSC: 60J25 60J60 62F15 62M05 65C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Glatt-Holtz, Nathan; Krometis, Justin; Mondaini, Cecilia On the accept-reject mechanism for Metropolis-Hastings algorithms. (English) Zbl 1533.65022 Ann. Appl. Probab. 33, No. 6B, 5279-5333 (2023). Reviewer: Pierre Monmarché (Paris) MSC: 65C40 60J22 65C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Travelletti, Cédric; Ginsbourger, David; Linde, Niklas Uncertainty quantification and experimental design for large-scale linear inverse problems under Gaussian process priors. (English) Zbl 1514.62067 SIAM/ASA J. Uncertain. Quantif. 11, 168-198 (2023). MSC: 62G08 86A22 60G15 62F15 62L05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Glatt-Holtz, Nathan E.; Mondaini, Cecilia F. Mixing rates for Hamiltonian Monte Carlo algorithms in finite and infinite dimensions. (English) Zbl 1502.65004 Stoch. Partial Differ. Equ., Anal. Comput. 10, No. 4, 1318-1391 (2022). MSC: 65C05 60H15 60J22 65C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Klebanov, Ilja; Sprungk, Björn; Sullivan, T. J. The linear conditional expectation in Hilbert space. (English) Zbl 1469.60016 Bernoulli 27, No. 4, 2267-2299 (2021). MSC: 60B11 62F15 62G05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bou-Rabee, Nawaf; Eberle, Andreas Two-scale coupling for preconditioned Hamiltonian Monte Carlo in infinite dimensions. (English) Zbl 1470.60202 Stoch. Partial Differ. Equ., Anal. Comput. 9, No. 1, 207-242 (2021). MSC: 60J05 60B12 60J22 65C05 65C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Croix, Jean-Charles; Durrande, Nicolas; Alvarez, Mauricio A. Bayesian inversion of a diffusion model with application to biology. (English) Zbl 1469.62366 J. Math. Biol. 83, No. 2, Paper No. 13, 23 p. (2021). MSC: 62P10 62R10 60G15 35R30 × Cite Format Result Cite Review PDF Full Text: DOI
Lu, Jianfeng; Lu, Yulong; Zhou, Zhennan Continuum limit and preconditioned Langevin sampling of the path integral molecular dynamics. (English) Zbl 07508407 J. Comput. Phys. 423, Article ID 109788, 31 p. (2020). MSC: 81-XX 82-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kuntz, Juan; Ottobre, Michela; Stuart, Andrew M. Diffusion limit for the random walk Metropolis algorithm out of stationarity. (English. French summary) Zbl 1467.60056 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1599-1648 (2019). MSC: 60J22 60J20 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid Link
Conforti, Giovanni; Kosenkova, Tetiana; Rœlly, Sylvie Conditioned point processes with application to Lévy bridges. (English) Zbl 1480.60116 J. Theor. Probab. 32, No. 4, 2111-2134 (2019). MSC: 60G51 60G55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kuntz, Juan; Ottobre, Michela; Stuart, Andrew M. Non-stationary phase of the MALA algorithm. (English) Zbl 1415.60091 Stoch. Partial Differ. Equ., Anal. Comput. 6, No. 3, 446-499 (2018). MSC: 60J22 60J20 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dunlop, Matthew M.; Girolami, Mark A.; Stuart, Andrew M.; Teckentrup, Aretha L. How deep are deep Gaussian processes? (English) Zbl 1469.60107 J. Mach. Learn. Res. 19, Paper No. 54, 46 p. (2018). MSC: 60G15 68T07 60J20 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Conforti, Giovanni; von Renesse, Max Couplings, gradient estimates and logarithmic Sobolev inequalitiy for Langevin bridges. (English) Zbl 1464.28011 Probab. Theory Relat. Fields 172, No. 1-2, 493-524 (2018). MSC: 28D20 47D07 47D08 47A63 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bou-Rabee, Nawaf SPECTRWM: spectral random walk method for the numerical solution of stochastic partial differential equations. (English) Zbl 1407.60084 SIAM Rev. 60, No. 2, 386-406 (2018). MSC: 60H15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Duncan, A. B.; Nüsken, N.; Pavliotis, G. A. Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions. (English) Zbl 1387.35580 J. Stat. Phys. 169, No. 6, 1098-1131 (2017). MSC: 35Q84 82C31 35B20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bréhier, Charles-Edouard; Vilmart, Gilles High order integrator for sampling the invariant distribution of a class of parabolic stochastic PDEs with additive space-time noise. (English) Zbl 1346.60105 SIAM J. Sci. Comput. 38, No. 4, A2283-A2306 (2016). MSC: 60H35 60H15 60H10 65C30 37M25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Chow, Sy-Miin; Lu, Zhaohua; Sherwood, Andrew; Zhu, Hongtu Fitting nonlinear ordinary differential equation models with random effects and unknown initial conditions using the stochastic approximation expectation-maximization (SAEM) algorithm. (English) Zbl 1342.62168 Psychometrika 81, No. 1, 102-134 (2016). MSC: 62P10 62L20 62H30 62P15 × Cite Format Result Cite Review PDF Full Text: DOI
Friz, Peter K.; Gess, Benjamin; Gulisashvili, Archil; Riedel, Sebastian The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory. (English) Zbl 1347.60097 Ann. Probab. 44, No. 1, 684-738 (2016). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H99 60G15 60H15 60G17 42A32 42A45 42A61 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Kaleta, Kamil; Lörinczi, József Pointwise eigenfunction estimates and intrinsic ultracontractivity-type properties of Feynman-Kac semigroups for a class of Lévy processes. (English) Zbl 1321.47098 Ann. Probab. 43, No. 3, 1350-1398 (2015). MSC: 47D08 60G51 47D03 47G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Lu, Jianfeng; Nolen, James Reactive trajectories and the transition path process. (English) Zbl 1343.60074 Probab. Theory Relat. Fields 161, No. 1-2, 195-244 (2015). MSC: 60H10 60H30 92E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Burrage, Kevin; Lythe, Grant Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations. (English) Zbl 1315.65007 Stoch. Partial Differ. Equ., Anal. Comput. 2, No. 2, 262-280 (2014). Reviewer: Dominique Lepingle (Orléans) MSC: 65C30 60H15 60H35 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Pillai, Natesh S.; Stuart, Andrew M.; Thiéry, Alexandre H. Noisy gradient flow from a random walk in Hilbert space. (English) Zbl 1308.60005 Stoch. Partial Differ. Equ., Anal. Comput. 2, No. 2, 196-232 (2014). MSC: 60-08 60H15 60J25 49J27 65C40 × Cite Format Result Cite Review PDF Full Text: DOI
Cotter, S. L.; Roberts, G. O.; Stuart, A. M.; White, D. MCMC methods for functions: modifying old algorithms to make them faster. (English) Zbl 1331.62132 Stat. Sci. 28, No. 3, 424-446 (2013). MSC: 62F15 65C05 65C40 60G60 60J22 62G05 62G07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Pillai, Natesh S.; Stuart, Andrew M.; Thiéry, Alexandre H. Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions. (English) Zbl 1272.60053 Ann. Appl. Probab. 22, No. 6, 2320-2356 (2012). Reviewer: Gabriel V. Orman (Braşov) MSC: 60J20 65C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Mattingly, Jonathan C.; Pillai, Natesh S.; Stuart, Andrew M. Diffusion limits of the random walk Metropolis algorithm in high dimensions. (English) Zbl 1254.60081 Ann. Appl. Probab. 22, No. 3, 881-930 (2012). Reviewer: Martin Riedler (Wien) MSC: 60J22 60J05 60F05 65C05 65C40 60H15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Hairer, Martin Singular perturbations to semilinear stochastic heat equations. (English) Zbl 1251.60052 Probab. Theory Relat. Fields 152, No. 1-2, 265-297 (2012). Reviewer: Elisa Alòs (Barcelona) MSC: 60H15 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kovács, Mihály; Lindgren, Fredrik; Larsson, Stig Spatial approximation of stochastic convolutions. (English) Zbl 1229.65027 J. Comput. Appl. Math. 235, No. 12, 3554-3570 (2011). Reviewer: Kevin Burrage (Brisbane) MSC: 65C30 65M60 65T60 60H15 60H35 × Cite Format Result Cite Review PDF Full Text: DOI
Hairer, Martin; Stuart, Andrew M.; Voss, Jochen Sampling conditioned hypoelliptic diffusions. (English) Zbl 1219.60062 Ann. Appl. Probab. 21, No. 2, 669-698 (2011). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H15 60J60 37H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Weber, Hendrik Sharp interface limit for invariant measures of a stochastic Allen-Cahn equation. (English) Zbl 1205.82110 Commun. Pure Appl. Math. 63, No. 8, 1071-1109 (2010). Reviewer: Kai Liu (Liverpool) MSC: 82C24 60H15 35R60 35Q40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Beskos, Alexandros; Roberts, Gareth; Stuart, Andrew Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions. (English) Zbl 1172.60328 Ann. Appl. Probab. 19, No. 3, 863-898 (2009). MSC: 60J22 65C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Beskos, Alexandros; Roberts, Gareth; Stuart, Andrew; Voss, Jochen MCMC methods for diffusion bridges. (English) Zbl 1159.65007 Stoch. Dyn. 8, No. 3, 319-350 (2008). Reviewer: Serghey G. Suvorov (Donetsk) MSC: 65C30 65C05 60H35 60H15 35R60 65C40 60G50 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hairer, M.; Stuart, A. M.; Voss, J. Analysis of SPDEs arising in path sampling. II: The nonlinear case. (English) Zbl 1140.60329 Ann. Appl. Probab. 17, No. 5-6, 1657-1706 (2007). MSC: 60H15 60G35 60G15 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Apte, A.; Hairer, M.; Stuart, A. M.; Voss, J. Sampling the posterior: an approach to non-Gaussian data assimilation. (English) Zbl 1113.62026 Physica D 230, No. 1-2, 50-64 (2007). MSC: 62F15 65C40 60H30 60H15 62P12 60H10 × Cite Format Result Cite Review PDF Full Text: DOI