Minimization for conditional simulation: Relationship to optimal transport

In this paper, we consider the problem of generating independent samples from a conditional distribution when independent samples from the prior distribution are available. Although there are exact methods for sampling from the posterior (e.g. Markov chain Monte Carlo or acceptance/rejection), these...

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Bibliographic Details
Published in:	Journal of computational physics Vol. 265; pp. 1 - 15
Main Author:	Oliver, Dean S.
Format:	Journal Article
Language:	English
Published:	Elsevier Inc 15.05.2014
Subjects:	Algorithms Computer simulation Conditional simulation Cost function Ensemble Kalman filter Ensemble smoother Iterative EnKF Mapping Mathematical analysis Mathematical models Minimization Optimal transport Optimization Quasi-linear Randomized maximum likelihood Ensemble smoother Ensemble Kalman filter Quasi-linear Randomized maximum likelihood Conditional simulation Optimal transport Iterative EnKF
ISSN:	0021-9991, 1090-2716
Online Access:	Get full text
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