Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis

Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings

Published:2023-03-03 Issue:1 Volume:11 Page:91-138
ISSN:2166-2525
Container-title:SIAM/ASA Journal on Uncertainty Quantification
language:en
Short-container-title:SIAM/ASA J. Uncertainty Quantification

Author:

Madrigal-Cianci Juan P.¹,Nobile Fabio²,Tempone Raúl³

Affiliation:

1. Protocol Labs.

2. SB-MATH-CSQI, École Polytechnique Fédérale de Lausanne, Lausanne CH-1015, Switzerland.

3. Computer, Electrical and Mathematical Sciences and Engineering, KAUST, Thuwal, Saudi Arabia, and Alexander von Humboldt professor in Mathematics of Uncertainty Quantification, RWTH Aachen University, Aachen 52062, Germany.

Funder

King Abdullah University of Science and Technology

Swiss Data Science Center

Alexander von Humboldt-Stiftung

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Reference38 articles.

1. Stochastic Simulation: Algorithms and Analysis

2. Multilevel sequential Monte Carlo samplers

3. Convergence of Probability Measures

4. Handbook of Markov Chain Monte Carlo

5. Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients

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