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stat.CO2024
Adaptive reduced tempering For Bayesian inverse problems and rare event simulation
Frederic Cerou, Patrick Heas, Mathias Rousset
This work proposes an adaptive sequential Monte Carlo sampling algorithm to solve Bayesian inverse problems in scenarios where likelihood evaluations are costly but can be approxim…
stat.CO2023
Adaptive Reduced Multilevel Splitting
Frédéric Cérou, Patrick Héas, Mathias Rousset
This paper considers the classical problem of sampling with Monte Carlo methods a target rare event distribution defined by a score function that is very expensive to compute. We a…