Preconditioned Krylov Subspace Methods for Sampling Multivariate Gaussian Distributions

DOI10.1137/130920587zbMath1296.60087DBLPjournals/siamsc/ChowS14OpenAlexW2084813411WikidataQ56698237 ScholiaQ56698237MaRDI QIDQ2874997

Yousef Saad, Edmond Chow

Publication date: 13 August 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e882640a29b0396d2c76c9fbc81a6467f91a86cb

zbMATH Keywords

samplingGaussian processespreconditioningcovariance matrixmatrix square rootKrylov subspace methodssparse approximate inverseLanczos process

Mathematics Subject Classification ID

Gaussian processes (60G15) Probabilistic models, generic numerical methods in probability and statistics (65C20) Iterative numerical methods for linear systems (65F10) Approximations to statistical distributions (nonasymptotic) (62E17) Preconditioners for iterative methods (65F08) Numerical computation of matrix exponential and similar matrix functions (65F60)

Related Items (18)

A blocking scheme for dimension-robust Gibbs sampling in large-scale image deblurring ⋮ A hierarchical matrix approach for computing hydrodynamic interactions ⋮ Structured Matrix Approximations via Tensor Decompositions ⋮ A generalised drift-correcting time integration scheme for Brownian suspensions of rigid particles with arbitrary shape ⋮ Fitting large-scale structured additive regression models using Krylov subspace methods ⋮ Horseshoe Priors for Edge-Preserving Linear Bayesian Inversion ⋮ Goal-Oriented Optimal Approximations of Bayesian Linear Inverse Problems ⋮ Preserving Positive Definiteness in Hierarchically Semiseparable Matrix Approximations ⋮ Stochastic modeling and identification of material parameters on structures produced by additive manufacturing ⋮ Efficient D-Optimal Design of Experiments for Infinite-Dimensional Bayesian Linear Inverse Problems ⋮ An Algebraic Multilevel Preconditioner with Low-Rank Corrections for Sparse Symmetric Matrices ⋮ A random field model for anisotropic strain energy functions and its application for uncertainty quantification in vascular mechanics ⋮ A fluctuating boundary integral method for Brownian suspensions ⋮ Fast Stokesian dynamics ⋮ Sparse Cholesky Factorization by Kullback--Leibler Minimization ⋮ Polynomial Accelerated Solutions to a Large Gaussian Model for Imaging Biofilms: In Theory and Finite Precision ⋮ Stochastic modeling of inhomogeneities in the aortic wall and uncertainty quantification using a Bayesian encoder-decoder surrogate ⋮ High-Dimensional Gaussian Sampling: A Review and a Unifying Approach Based on a Stochastic Proximal Point Algorithm

This page was built for publication: Preconditioned Krylov Subspace Methods for Sampling Multivariate Gaussian Distributions