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DOE OSTI · 1606084

Transitional Markov Chain Monte Carlo Sampler in UQTk

Safta, Cosmin·Khalil, Mohammad·Najm, Habib N.
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Abstract

Transitional Markov Chain Monte Carlo (TMCMC) is a variant of a class of Markov Chain Monte Carlo algorithms known as tempering-based methods. In this report, the implementation of TMCMC in the Uncertainty Quantification Toolkit is investigated through the sampling of high-dimensional distributions, multi-modal distributions, and nonlinear manifolds. Furthermore, the Bayesian model evidence estimates obtained from TMCMC are tested on problems with known analytical solutions and shown to provide consistent results.

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97 MATHEMATICS AND COMPUTING

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Safta, Cosmin, Khalil, Mohammad, Najm, Habib N.. 2020-03-01. Transitional Markov Chain Monte Carlo Sampler in UQTk. https://doi.org/10.2172/1606084

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