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}
}
  • Jeremy Heng, Arnaud Doucet, Yvo Pokern
  • 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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