Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
In this article we develop a new sequential Monte Carlo method for multilevel Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an infinite-dimensional and noncompact space-as produced, for example, by a Baye...
Main Author: | Marzouk, Youssef M (Author) |
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Other Authors: | Massachusetts Institute of Technology. Department of Aeronautics and Astronautics (Contributor) |
Format: | Article |
Language: | English |
Published: |
Society for Industrial & Applied Mathematics (SIAM),
2020-08-12T14:23:05Z.
|
Subjects: | |
Online Access: | Get fulltext |
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