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stat.CO2022★ 158 cited
Nested sampling for physical scientists
Greg Ashton, Noam Bernstein, Johannes Buchner +20
We review Skilling's nested sampling (NS) algorithm for Bayesian inference and more broadly multi-dimensional integration. After recapitulating the principles of NS, we survey deve…
stat.CO2016★ 141 cited
An introduction to sampling via measure transport
Youssef Marzouk, Tarek Moselhy, Matthew Parno +1
We present the fundamentals of a measure transport approach to sampling. The idea is to construct a deterministic coupling---i.e., a transport map---between a complex "target" prob…