Comparison of Numerical Approaches to Bayesian Updating

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21110%2F16%3A00239591" target="_blank" >RIV/68407700:21110/16:00239591 - isvavai.cz</a>

Výsledek na webu

<a href="http://link.springer.com/chapter/10.1007%2F978-3-319-27996-1_16" target="_blank" >http://link.springer.com/chapter/10.1007%2F978-3-319-27996-1_16</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/978-3-319-27996-1_16" target="_blank" >10.1007/978-3-319-27996-1_16</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Comparison of Numerical Approaches to Bayesian Updating

Popis výsledku v původním jazyce

This paper investigates the Bayesian process of identifying unknown model parameters given prior information and a set of noisy measurement data. There are two approaches being adopted in this research: one that uses the classical formula for measures and probability densities and one that leaves the underlying measure unchanged and updates the relevant random variable. The former is numerically tackled by a Markov chain Monte Carlo procedure based on the Metropolis-Hastings algorithm, whereas the latter is implemented via the ensemble/square root ensemble Kalman filters, as well as the functional approximation approaches in the form of the polynomial chaos based linear Bayesian filter and its corresponding square root algorithm. The study attempts to show the principal differences between full and linear Bayesian updates when a direct or a transformed version of measurements are taken into consideration. In this regard the comparison of both strategies is provided on the example of a steady state diffusion equation with nonlinear and transformed linear measurement operators.

Název v anglickém jazyce

Comparison of Numerical Approaches to Bayesian Updating

Popis výsledku anglicky

This paper investigates the Bayesian process of identifying unknown model parameters given prior information and a set of noisy measurement data. There are two approaches being adopted in this research: one that uses the classical formula for measures and probability densities and one that leaves the underlying measure unchanged and updates the relevant random variable. The former is numerically tackled by a Markov chain Monte Carlo procedure based on the Metropolis-Hastings algorithm, whereas the latter is implemented via the ensemble/square root ensemble Kalman filters, as well as the functional approximation approaches in the form of the polynomial chaos based linear Bayesian filter and its corresponding square root algorithm. The study attempts to show the principal differences between full and linear Bayesian updates when a direct or a transformed version of measurements are taken into consideration. In this regard the comparison of both strategies is provided on the example of a steady state diffusion equation with nonlinear and transformed linear measurement operators.

Druh

C - Kapitola v odborné knize

CEP obor

JM - Inženýrské stavitelství

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název knihy nebo sborníku

Computational Methods for Solids and Fluids

ISBN

978-3-319-27996-1

Počet stran výsledku

36

Strana od-do

427-462

Počet stran knihy

497

Název nakladatele

Springer International Publishing

Místo vydání

Cham

Kód UT WoS kapitoly

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