Matthew Parno

Matthew Parno
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Matthew Parno
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Statistics - Computation (3)
 
Mathematics - Probability (2)
 
Statistics - Applications (1)
 
Statistics - Methodology (1)

Publications Authored By Matthew Parno

We present the fundamentals of a measure transport approach to sampling. The idea is to construct a deterministic coupling---i.e. Read More

In many inverse problems, model parameters cannot be precisely determined from observational data. Bayesian inference provides a mechanism for capturing the resulting parameter uncertainty, but typically at a high computational cost. This work introduces a multiscale decomposition that exploits conditional independence across scales, when present in certain classes of inverse problems, to decouple Bayesian inference into two stages: (1) a computationally tractable coarse-scale inference problem; and (2) a mapping of the low-dimensional coarse-scale posterior distribution into the original high-dimensional parameter space. Read More

We introduce a new framework for efficient sampling from complex probability distributions, using a combination of optimal transport maps and the Metropolis-Hastings rule. The core idea is to use continuous transportation to transform typical Metropolis proposal mechanisms (e.g. Read More