83 citations · 126 across the 30 of their papers we have counts for
5 papers · 1 filter
Adaptive Tikhonov strategies for stochastic ensemble Kalman inversion
Simon Weissmann, Neil K. Chada, Claudia Schillings +1
Ensemble Kalman inversion (EKI) is a derivative-free optimizer aimed at solving inverse problems, taking motivation from the celebrated ensemble Kalman filter. The purpose of this…
Unbiased Estimation of the Hessian for Partially Observed Diffusions
Neil K. Chada, Ajay Jasra, Fangyuan Yu
In this article we consider the development of unbiased estimators of the Hessian, of the log-likelihood function with respect to parameters, for partially observed diffusion proce…
Multilevel Estimation of Normalization Constants Using the Ensemble Kalman-Bucy Filter
Hamza Ruzayqat, Neil K. Chada, Ajay Jasra
In this article we consider the application of multilevel Monte Carlo, for the estimation of normalizing constants. In particular we will make use of the filtering algorithm, the e…
Improved Efficiency of Multilevel Monte Carlo for Stochastic PDE through Strong Pairwise Coupling
Neil K. Chada, Håkon Hoel, Ajay Jasra +1
Multilevel Monte Carlo (MLMC) has become an important methodology in applied mathematics for reducing the computational cost of weak approximations. For many problems, it is well-k…
Cauchy Markov Random Field Priors for Bayesian Inversion
Neil K. Chada, Lassi Roininen, Jarkko Suuronen
The use of Cauchy Markov random field priors in statistical inverse problems can potentially lead to posterior distributions which are non-Gaussian, high-dimensional, multimodal an…