<?xml version="1.0" encoding="utf-8"?>
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  <doc>
    <id>6661</id>
    <completedYear/>
    <publishedYear>2017</publishedYear>
    <thesisYearAccepted/>
    <language>eng</language>
    <pageFirst/>
    <pageLast/>
    <pageNumber/>
    <edition/>
    <issue/>
    <volume/>
    <type>article</type>
    <publisherName/>
    <publisherPlace/>
    <creatingCorporation/>
    <contributingCorporation/>
    <belongsToBibliography>0</belongsToBibliography>
    <completedDate>--</completedDate>
    <publishedDate>--</publishedDate>
    <thesisDateAccepted>--</thesisDateAccepted>
    <title language="eng">Exact active subspace Metropolis–Hastings, with applications to the Lorenz-96 system</title>
    <abstract language="eng">We consider the application of active subspaces to inform a Metropolis-Hastings algorithm, thereby aggressively reducing the computational dimension of the sampling problem. We show that the original formulation, as proposed by Constantine, Kent, and Bui-Thanh (SIAM J. Sci. Comput., 38(5):A2779-A2805, 2016), possesses asymptotic bias. Using pseudo-marginal arguments, we develop an asymptotically unbiased variant. Our algorithm is applied to a synthetic multimodal target distribution as well as a Bayesian formulation of a parameter inference problem for a Lorenz-96 system.</abstract>
    <identifier type="arxiv">1712.02749</identifier>
    <enrichment key="PeerReviewed">no</enrichment>
    <author>Ingmar Schuster</author>
    <submitter>T. J. Sullivan</submitter>
    <author>Paul Constantine</author>
    <author>T. J. Sullivan</author>
    <collection role="institutes" number="num">Numerical Mathematics</collection>
    <collection role="persons" number="schuster">Schuster, Ingmar</collection>
    <collection role="projects" number="SFB1114 A06">SFB1114 A06</collection>
  </doc>
</export-example>
