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id="searchtype" name="searchtype"><option value="all">All fields</option><option value="title">Title</option><option selected value="author">Author(s)</option><option value="abstract">Abstract</option><option value="comments">Comments</option><option value="journal_ref">Journal reference</option><option value="acm_class">ACM classification</option><option value="msc_class">MSC classification</option><option value="report_num">Report number</option><option value="paper_id">arXiv identifier</option><option value="doi">DOI</option><option value="orcid">ORCID</option><option value="license">License (URI)</option><option value="author_id">arXiv author ID</option><option value="help">Help pages</option><option value="full_text">Full text</option></select> <input id="query" name="query" type="text" value="Seiffert, L"> <ul id="abstracts"><li><input checked id="abstracts-0" name="abstracts" type="radio" value="show"> <label for="abstracts-0">Show abstracts</label></li><li><input 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<button class="button is-small is-link">Go</button> </div> </div> </form> </div> </div> <ol class="breathe-horizontal" start="1"> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2503.00251">arXiv:2503.00251</a> <span> [<a href="https://arxiv.org/pdf/2503.00251">pdf</a>, <a href="https://arxiv.org/format/2503.00251">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Methodology">stat.ME</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation">stat.CO</span> </div> </div> <p class="title is-5 mathjax"> A Framework to Analyze Multiscale Sampling MCMC Methods </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/stat?searchtype=author&query=Seiffert%2C+L">Lucas Seiffert</a>, <a href="/search/stat?searchtype=author&query=Pereira%2C+F">Felipe Pereira</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2503.00251v2-abstract-short" style="display: inline;"> We consider the theoretical analysis of Multiscale Sampling Methods, which are a new class of gradient-free Markov chain Monte Carlo (MCMC) methods for high dimensional inverse differential equation problems. A detailed presentation of those methods is given, including a review of each MCMC technique that they employ. Then, we propose a two-part framework to study and compare those methods. The fi… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2503.00251v2-abstract-full').style.display = 'inline'; document.getElementById('2503.00251v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2503.00251v2-abstract-full" style="display: none;"> We consider the theoretical analysis of Multiscale Sampling Methods, which are a new class of gradient-free Markov chain Monte Carlo (MCMC) methods for high dimensional inverse differential equation problems. A detailed presentation of those methods is given, including a review of each MCMC technique that they employ. Then, we propose a two-part framework to study and compare those methods. The first part identifies the new corresponding state space for the chain of random fields, and the second assesses convergence conditions on the instrumental and target distributions. Three Multiscale Sampling Methods are then analyzed using this new framework. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2503.00251v2-abstract-full').style.display = 'none'; document.getElementById('2503.00251v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 4 March, 2025; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 28 February, 2025; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> March 2025. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2408.13411">arXiv:2408.13411</a> <span> [<a href="https://arxiv.org/pdf/2408.13411">pdf</a>, <a href="https://arxiv.org/format/2408.13411">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Methodology">stat.ME</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation">stat.CO</span> </div> </div> <p class="title is-5 mathjax"> Estimating the Effective Sample Size for an inverse problem in subsurface flows </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/stat?searchtype=author&query=Seiffert%2C+L">Lucas Seiffert</a>, <a href="/search/stat?searchtype=author&query=Pereira%2C+F">Felipe Pereira</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2408.13411v1-abstract-short" style="display: inline;"> The Effective Sample Size (ESS) and Integrated Autocorrelation Time (IACT) are two popular criteria for comparing Markov Chain Monte Carlo (MCMC) algorithms and detecting their convergence. Our goal is to assess those two quantities in the context of an inverse problem in subsurface flows. We begin by presenting a review of some popular methods for their estimation, and then simulate their sample… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2408.13411v1-abstract-full').style.display = 'inline'; document.getElementById('2408.13411v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2408.13411v1-abstract-full" style="display: none;"> The Effective Sample Size (ESS) and Integrated Autocorrelation Time (IACT) are two popular criteria for comparing Markov Chain Monte Carlo (MCMC) algorithms and detecting their convergence. Our goal is to assess those two quantities in the context of an inverse problem in subsurface flows. We begin by presenting a review of some popular methods for their estimation, and then simulate their sample distributions on AR(1) sequences for which the exact values were known. We find that those ESS estimators may not be statistically consistent, because their variance grows linearly in the number of sample values of the MCMC. Next, we analyze the output of two distinct MCMC algorithms for the Bayesian approach to the simulation of an elliptic inverse problem. Here, the estimators cannot even agree about the order of magnitude of the ESS. Our conclusion is that the ESS has major limitations and should not be used on MCMC outputs of complex models. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2408.13411v1-abstract-full').style.display = 'none'; document.getElementById('2408.13411v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 23 August, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> August 2024. </p> </li> </ol> <div class="is-hidden-tablet">  <span class="help" style="display: inline-block;"><a href="https://github.com/arXiv/arxiv-search/releases">Search v0.5.6 released 2020-02-24</a>  </span> </div> </div> </main> <footer> <div class="columns is-desktop" role="navigation" aria-label="Secondary">  <div class="column"> <div class="columns"> <div class="column"> <ul class="nav-spaced"> <li><a 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