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equinor
MCMC roadmap
Beyond the scope of https://github.com/equinor/ert/milestone/21, an MCMC implementation should contain...
Priors:
- add prior function evaluator to all standard distributions,
- extend the prior functions supported to also include:
beta,latin hypercube - correlated priors (recommended read: https://en.wikipedia.org/wiki/Copula_(probability_theory))
Stochastic proxy: The assumption of deterministic forward model is often violated in the case of stochastic forward models. To compensate one can evaluate the same realisation multiple times and then condition to the mean of the responses and add the variation to the covariance matrix.
Plotting/diagnostics: Plots are needed.
Evaluate simple proxy generation We should start the MVP by generating the proxy functions using an established implementation and run it locally. However, whether this is sufficient on a large case needs to be evaluated down the road.
Relevant paper: https://www.onepetro.org/conference-paper/SPE-113390-MS