Sampling Conditioned Diffusions
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| details: | Hairer, Martin, Stuart, Andrew M. and Voss, Jochen: Sampling Conditioned Diffusions. Pages 159–186 in Trends in Stochastic Analysis, Cambridge University Press, vol. 353 of London Mathematical Society Lecture Note Series, 2009. |
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| preprint: | preprint:pdf , preprint:ps |
| link: | http://www.amazon.co.uk/gp/product/052171821X?ie=UTF8&tag=seehuhn-21&linkCode=as2&camp=1634&creative=6738&creativeASIN=052171821X |
| metadata: | BibTeX, MathSciNet, Google |
| keywords: | MCMC methods, SPDEs |
Abstract
For many practical problems it is useful to be able to sample conditioned diffusions on a computer (e.g.in filtering/smoothing to sample from the conditioned distribution of the unknown signal given the known observations). We present a recently developed, SPDE-based method to tackle this problem. The method is an infinite dimensional generalisation of the Langevin sampling technique.
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