118 citations · 323 across the 18 of their papers we have counts for
3 papers · 1 filter
Small-noise analysis and symmetrization of implicit Monte Carlo samplers
Jonathan Goodman, Kevin K. Lin, Matthias Morzfeld
Implicit samplers are algorithms for producing independent, weighted samples from multi-variate probability distributions. These are often applied in Bayesian data assimilation alg…
Path integral formulation of stochastic optimal control with generalized costs
Insoon Yang, Matthias Morzfeld, Claire J. Tomlin +1
Path integral control solves a class of stochastic optimal control problems with a Monte Carlo (MC) method for an associated Hamilton-Jacobi-Bellman (HJB) equation. The MC approach…
Limitations of polynomial chaos expansions in the Bayesian solution of inverse problems
Fei Lu, Matthias Morzfeld, Xuemin Tu +1
Polynomial chaos expansions are used to reduce the computational cost in the Bayesian solutions of inverse problems by creating a surrogate posterior that can be evaluated inexpens…