A probabilistic model for the numerical solution of initial value problems

DOI10.1007/s11222-017-9798-7zbMath1505.62361arXiv1610.05261OpenAlexW2534928453MaRDI QIDQ2329752

Simo Särkkä, Michael Schober, Philipp Hennig

Publication date: 18 October 2019

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

Full work available at URL: https://arxiv.org/abs/1610.05261

zbMATH Keywords

Gaussian processesMarkov processesinitial value problemsfilteringRunge-Kutta methodsprobabilistic numericsNordsieck methods

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Uses Software

• VODE

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