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Sampling via Measure Transport: An Introduction

  • Marzouk Y
  • Moselhy T
  • Parno M
  • et al.
Springer International Publishing, (2016), 1-41
DOI: 10.1007/978-3-319-11259-6_23-1
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Abstract

We present the fundamentals of a measure transport approach to sampling. The idea is to construct a deterministic coupling – i.e., a transport map – between a complex “target” probability measure of interest and a simpler reference measure....

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Marzouk, Y., Moselhy, T., Parno, M., & Spantini, A. (2016). Sampling via Measure Transport: An Introduction. In Handbook of Uncertainty Quantification (pp. 1–41). Springer International Publishing. https://doi.org/10.1007/978-3-319-11259-6_23-1

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