On a Generalization of the Preconditioned Crank–Nicolson Metropolis Algorithm

Dimension-independent likelihood-informed MCMC

(2016) Tiangang Cui et al.   JOURNAL OF COMPUTATIONAL PHYSICS

Analysis of the Ensemble and Polynomial Chaos Kalman Filters in Bayesian Inverse Problems

(2015) Oliver G. Ernst et al.   SIAM-ASA Journal on Uncertainty Quantification

Spectral gaps for a Metropolis–Hastings algorithm in infinite dimensions

(2014) Martin Hairer et al.   ANNALS OF APPLIED PROBABILITY

Variance bounding and geometric ergodicity of Markov chain Monte Carlo kernels for approximate Bayesian computation

(2014) A. Lee et al.   BIOMETRIKA

Positivity of hit-and-run and related algorithms

(2013) Daniel Rudolf et al.   ELECTRONIC COMMUNICATIONS IN PROBABILITY

Proposals which speed up function-space MCMC

(2013) K.J.H. Law   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

MCMC Methods for Functions: Modifying Old Algorithms to Make Them Faster

(2013) S. L. Cotter et al.   STATISTICAL SCIENCE

Explicit error bounds for Markov chain Monte Carlo

(2012) Daniel Rudolf   Dissertationes Mathematicae

Nonasymptotic mixing of the MALA algorithm

(2012) N. Bou-Rabee et al.   IMA JOURNAL OF NUMERICAL ANALYSIS

A Stochastic Newton MCMC Method for Large-Scale Statistical Inverse Problems with Application to Seismic Inversion

(2012) James Martin et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

Riemann manifold Langevin and Hamiltonian Monte Carlo methods

(2011) Mark Girolami et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Inverse problems: A Bayesian perspective

(2010) A. M. Stuart   ACTA NUMERICA

MCMC METHODS FOR DIFFUSION BRIDGES

(2008) ALEXANDROS BESKOS et al.   Stochastics and Dynamics