M. Hairer, A. M. Stuart, and J. Voss August 30, 2005  Home/Search
Context Related
| seehuhn.de/mathe/../ps/HSV05b.ps Cached: PS.gz PS PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
Image Update HelpPS.gz PS PDF From: seehuhn.de/mathe/ (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: Data assimilation is formulated in a Bayesian context. This leads to a sampling problem in the space of continuous time paths. By writing down a density in path space, and conditioning on observations, it is possible to define a range of Markov Chain Monte Carlo (MCMC) methods which sample from the desired distribution in path space, and thereby solve the data assimilation problem. The basic building-blocks for the MCMC methods that we concentrate on in this paper are stochastic partial... (Update)
Cited by: More
Analysis of SPDEs Arising in Path Sampling, Part II: The.. - Hairer, Stuart, Voss (Correct)
Active bibliography (related documents): More All
0.8: Analysis of SPDEs Arising in Path Sampling, Part I: The .. - Hairer, Stuart, Voss.. (2005) (Correct)
0.5: Conditional Path Sampling of SDEs and the Langevin MCMC Method - Stuart, Voss, Wiberg (2004) (Correct)
0.5: Tempered Langevin diffusions and algorithms - Roberts, Stramer (2002) (Correct)
Similar documents based on text:
5.0: Unknown - (Correct)
BibTeX entry: (Update)
M. Hairer, A. M. Stuart, and J. Voss. A Bayesian approach to data assimilation. submitted, 2005. http://citeseer.ist.psu.edu/hairer05bayesian.html More
@misc{ hairer05bayesian,
author = "M. Hairer and A. Stuart and J. Voss",
title = "A Bayesian approach to data assimilation",
text = "M. Hairer, A. M. Stuart, and J. Voss. A Bayesian approach to data assimilation.
submitted, 2005.",
year = "2005",
url = "citeseer.ist.psu.edu/hairer05bayesian.html" }
Citations (may not include all citations):294 Brownian Motion and Stochastic Calculus (context) - Karatzas, Shreve - 1991
146 Monte Carlo statistical methods - Robert, Casella - 1999
15 erential Equations: An Introduction with Applications (context) - ksendal - 1998
8 Variational algorithms for analysis and assimilation of mete.. (context) - Le Dimet, Talagrand - 1986
4 Analysis of SPDEs arising in path sampling (context) - Hairer, Stuart et al.
4 Control and the Discrete Kalman Filter (context) - Estimation - 1989
4 Second-order discretization schemes for stochastic di#erenti.. (context) - Talay - 1990
4 Analysis of SPDEs arising in path sampling (context) - Hairer, Stuart et al.
3 Stochastic Evolution Systems: Linear Theory and Applications.. (context) - Rozovskii - 1990
3 volume 44 of Encyclopedia of Mathematics and its Application.. (context) - Prato, Zabczyk et al. - 1992
3 Symmetric solutions of semilinear stochastic equations (context) - Zabczyk - 1988
2 Langevin sampling in path space: implicit methods and pre-co.. (context) - Roberts, Stuart et al.
2 Optimal scaling for various Metropolis-Hastings algorithms - Roberts, Rosenthal - 2001
2 Extracting macroscopic dynamics: model problems and algorith.. (context) - Givon, Kupferman et al. - 2004
2 New York (context) - Monte, in et al. - 2001
2 Conditional path sampling of SDEs and the Langevin MCMC meth.. - Stuart, Voss et al. - 2004
1 Accelerated Monte-Carlo for optimal estimation of time serie.. (context) - Alexander, Eyink et al.
1 usions in flat space (context) - Krener - 1997
1 A local ensemble Kalman filter for atmospheric data assimila.. (context) - Ott, Hunt et al. - 2004
1 A method for assimilation of Lagrangian data (context) - Kuznetsov, Ide et al. - 2003
1 Invariant measures of stochastic PDEs (context) - Rezniko, Vanden-Eijnden - 2005
1 Functional integral methods for stochastic fields (context) - Langouche, Roekaerts et al. - 1979
1 Stuart A perturbation theory for ergodic Markov chains with .. (context) - Shardlow - 2000
Documents on the same site (http://seehuhn.de/mathe/): More
Conditional Path Sampling of SDEs and the Langevin MCMC Method - Stuart, Voss, Wiberg (2004) (Correct)
Some Large Deviation Results for Diffusion Processes - Voß (2004) (Correct)
Interpreting the parameters of the diffusion model: An.. - Voss, Rothermund, Voss (2004) (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC