Bayesian updating and marginal likelihood estimation by cross entropy based importance sampling

Author:

Engel MichaelORCID,Kanjilal OindrilaORCID,Papaioannou Iason,Straub Daniel

Funder

Deutsche Forschungsgemeinschaft

Alexander von Humboldt-Stiftung

Publisher

Elsevier BV

Subject

Computer Science Applications,Physics and Astronomy (miscellaneous),Applied Mathematics,Computational Mathematics,Modeling and Simulation,Numerical Analysis

Reference54 articles.

1. Markov Chain Monte Carlo in Practice;Gilks,1995

2. Annealed importance sampling;Neal;Stat. Comput.,2001

3. A sequential particle filter method for static models;Chopin;Biometrika,2002

4. Bayesian updating of structural models and reliability using markov chain monte carlo simulation;Beck;J. Eng. Mech.,2002

5. Sequential Monte Carlo samplers;Del Moral;J. R. Stat. Soc., Ser. B, Stat. Methodol.,2006

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