Corpus ID: 88514805

# Gibbs flow for approximate transport with applications to Bayesian computation

@article{Heng2015GibbsFF,
title={Gibbs flow for approximate transport with applications to Bayesian computation},
author={Jeremy Heng and Arnaud Doucet and Yvo Pokern},
journal={arXiv: Computation},
year={2015}
}
• Published 2015
• Mathematics
• arXiv: Computation
• Let $\pi_{0}$ and $\pi_{1}$ be two distributions on the Borel space $(\mathbb{R}^{d},\mathcal{B}(\mathbb{R}^{d}))$. Any measurable function $T:\mathbb{R}^{d}\rightarrow\mathbb{R}^{d}$ such that $Y=T(X)\sim\pi_{1}$ if $X\sim\pi_{0}$ is called a transport map from $\pi_{0}$ to $\pi_{1}$. For any $\pi_{0}$ and $\pi_{1}$, if one could obtain an analytical expression for a transport map from $\pi_{0}$ to $\pi_{1}$, then this could be straightforwardly applied to sample from any distribution. One… CONTINUE READING

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