Fast automatic Bayesian cubature using lattice sampling

DOI10.1007/s11222-019-09895-9zbMath1435.62028arXiv1809.09803OpenAlexW2892615712WikidataQ127318841 ScholiaQ127318841MaRDI QIDQ2302451

Fred J. Hickernell, R. Jagadeeswaran

Publication date: 26 February 2020

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.09803

zbMATH Keywords

Bayesian cubaturefast automatic cubatureGAILprobabilistic numeric methods

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Numerical quadrature and cubature formulas (65D32) Probabilistic methods, stochastic differential equations (65C99)

Related Items (9)

Adaptive experiment design for probabilistic integration ⋮ Quasi-Monte Carlo Software ⋮ Maximum Likelihood Estimation and Uncertainty Quantification for Gaussian Process Approximation of Deterministic Functions ⋮ Symmetry exploits for Bayesian cubature methods ⋮ On the positivity and magnitudes of Bayesian quadrature weights ⋮ A modern retrospective on probabilistic numerics ⋮ Comment: unreasonable effectiveness of Monte Carlo ⋮ Rejoinder: ``Probabilistic integration: a role in statistical computation? ⋮ Quasi-interpolation for multivariate density estimation on bounded domain

Uses Software

• DLMF
• GAIL

Cites Work

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