3 papers
math.OC2021
Consensus-based Optimization and Ensemble Kalman Inversion for Global Optimization Problems with Constraints
J. A. Carrillo, C. Totzeck, U. Vaes
We introduce a practical method for incorporating equality and inequality constraints in global optimization methods based on stochastic interacting particle systems, specifically…
math.DS2021
Consensus Based Sampling
J. A. Carrillo, F. Hoffmann, A. M. Stuart +1
We propose a novel method for sampling and optimization tasks based on a stochastic interacting particle system. We explain how this method can be used for the following two goals:…
math.DS2021
Derivative-free Bayesian Inversion Using Multiscale Dynamics
G. A. Pavliotis, A. M. Stuart, U. Vaes
Inverse problems are ubiquitous because they formalize the integration of data with mathematical models. In many scientific applications the forward model is expensive to evaluate,…