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math.NA2022
Less interaction with forward models in Langevin dynamics
Martin Eigel, Robert Gruhlke, David Sommer
Ensemble methods have become ubiquitous for the solution of Bayesian inference problems. State-of-the-art Langevin samplers such as the Ensemble Kalman Sampler (EKS), Affine Invari…
math.NA2022
Generative modeling with low-rank Wasserstein polynomial chaos expansions
Robert Gruhlke, Martin Eigel
A new Wasserstein multi-element polynomial chaos expansion (WPCE) is proposed, which is inspired by recent advances in computational optimal transport for estimating Wasserstein di…