52 citations · 135 across the 10 of their papers we have counts for
4 papers · 1 filter
Consensus-based rare event estimation
Konstantin Althaus, Iason Papaioannou, Elisabeth Ullmann
In this paper, we introduce a new algorithm for rare event estimation based on adaptive importance sampling. We consider a smoothed version of the optimal importance sampling densi…
Multilevel adaptive sparse Leja approximations for Bayesian inverse problems
Ionut-Gabriel Farcas, Jonas Latz, Elisabeth Ullmann +2
Deterministic interpolation and quadrature methods are often unsuitable to address Bayesian inverse problems depending on computationally expensive forward mathematical models. Whi…
A practical example for the non-linear Bayesian filtering of model parameters
Matthieu Bulté, Jonas Latz, Elisabeth Ullmann
In this tutorial we consider the non-linear Bayesian filtering of static parameters in a time-dependent model. We outline the theoretical background and discuss appropriate solvers…
Multilevel Sequential Monte Carlo for Bayesian Inverse Problems
Jonas Latz, Iason Papaioannou, Elisabeth Ullmann
The identification of parameters in mathematical models using noisy observations is a common task in uncertainty quantification. We employ the framework of Bayesian inversion: we c…