A covariance-ratio-based gradient-free method identifies likelihood-informed subspaces for dimension reduction in Bayesian inference, yielding better posterior approximations in linear Gaussian settings and practical results in nonlinear high-dimensional applications.
A tutorial on adaptive MCMC.Statistics and Computing, 18(4):343–373, December 2008
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Covariance-Informed Subspace: an Adaptive Gradient-Free Input Dimension Reduction Method for Bayesian Inference
A covariance-ratio-based gradient-free method identifies likelihood-informed subspaces for dimension reduction in Bayesian inference, yielding better posterior approximations in linear Gaussian settings and practical results in nonlinear high-dimensional applications.