Informed Proposal Monte Carlo
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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Informed Proposal Monte Carlo. / Khoshkholgh, Sarouyeh; Zunino, Andrea; Mosegaard, Klaus.
I: Geophysical Journal International, Bind 226, Nr. 2, 01.08.2021, s. 1239-1248.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Informed Proposal Monte Carlo
AU - Khoshkholgh, Sarouyeh
AU - Zunino, Andrea
AU - Mosegaard, Klaus
PY - 2021/8/1
Y1 - 2021/8/1
N2 - Any search or sampling algorithm for solution of inverse problems needs guidance to be efficient. Many algorithms collect and apply information about the problem on the fly, and much improvement has been made in this way. However, as a consequence of the the No-Free-Lunch Theorem, the only way we can ensure a significantly better performance of search and sampling algorithms is to build in as much information about the problem as possible. In the special case of Markov Chain Monte Carlo sampling (MCMC) we review how this is done through the choice of proposal distribution, and we show how this way of adding more information about the problem can be made particularly efficient when based on an approximate physics model of the problem. A highly nonlinear inverse scattering problem with a high-dimensional model space serves as an illustration of the gain of efficiency through this approach.
AB - Any search or sampling algorithm for solution of inverse problems needs guidance to be efficient. Many algorithms collect and apply information about the problem on the fly, and much improvement has been made in this way. However, as a consequence of the the No-Free-Lunch Theorem, the only way we can ensure a significantly better performance of search and sampling algorithms is to build in as much information about the problem as possible. In the special case of Markov Chain Monte Carlo sampling (MCMC) we review how this is done through the choice of proposal distribution, and we show how this way of adding more information about the problem can be made particularly efficient when based on an approximate physics model of the problem. A highly nonlinear inverse scattering problem with a high-dimensional model space serves as an illustration of the gain of efficiency through this approach.
KW - physics.geo-ph
KW - stat.CO
U2 - 10.1093/gji/ggab173
DO - 10.1093/gji/ggab173
M3 - Journal article
VL - 226
SP - 1239
EP - 1248
JO - Geophysical Journal International
JF - Geophysical Journal International
SN - 0956-540X
IS - 2
ER -
ID: 261065840