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stat.CO2021
Automatic tempered posterior distributions for Bayesian inversion problems
L. Martino, F. Llorente, E. Curbelo +2
We propose a novel adaptive importance sampling scheme for Bayesian inversion problems where the inference of the variables of interest and the power of the data noise is split. Mo…
math.NA2021
Polynomial propagation of moments in stochastic differential equations
Albert López-Yela, Joaquin Miguez
We address the problem of approximating the moments of the solution, , of an Itô stochastic differential equation (SDE) with drift and a diffusion terms over a t…