Preconditioned Krylov subspace methods for sampling multivariate Gaussian distributions
DOI10.1137/130920587zbMATH Open1296.60087DBLPjournals/siamsc/ChowS14OpenAlexW2084813411WikidataQ56698237 ScholiaQ56698237MaRDI QIDQ2874997FDOQ2874997
Authors: Y. 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
Recommendations
- Sampling Gaussian distributions in Krylov spaces with conjugate gradients
- High-dimensional Gaussian sampling: a review and a unifying approach based on a stochastic proximal point algorithm
- Iterative numerical methods for sampling from high dimensional Gaussian distributions
- A Krylov subspace method for covariance approximation and simulation of random processes and fields
- Randomized Nyström Preconditioning
samplingGaussian processesKrylov subspace methodspreconditioningcovariance matrixLanczos processmatrix square rootsparse approximate inverse
Gaussian processes (60G15) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic models, generic numerical methods in probability and statistics (65C20) Preconditioners for iterative methods (65F08) Iterative numerical methods for linear systems (65F10) Numerical computation of matrix exponential and similar matrix functions (65F60)
Cited In (24)
- Scalable parallel scheme for sampling of Gaussian random fields over very large domains
- Sampling Gaussian distributions in Krylov spaces with conjugate gradients
- An adaptive covariance parameterization technique for the ensemble Gaussian mixture filter
- Stochastic modeling and identification of material parameters on structures produced by additive manufacturing
- Polynomial Accelerated Solutions to a Large Gaussian Model for Imaging Biofilms: In Theory and Finite Precision
- Lagrangian-based simulation method using constrained Stokesian dynamics for particulate flows in microchannel
- A hierarchical matrix approach for computing hydrodynamic interactions
- A random field model for anisotropic strain energy functions and its application for uncertainty quantification in vascular mechanics
- An algebraic multilevel preconditioner with low-rank corrections for sparse symmetric matrices
- Fitting large-scale structured additive regression models using Krylov subspace methods
- A generalised drift-correcting time integration scheme for Brownian suspensions of rigid particles with arbitrary shape
- Iterative numerical methods for sampling from high dimensional Gaussian distributions
- Goal-oriented optimal approximations of Bayesian linear inverse problems
- A fluctuating boundary integral method for Brownian suspensions
- Sparse Cholesky Factorization by Kullback--Leibler Minimization
- A blocking scheme for dimension-robust Gibbs sampling in large-scale image deblurring
- Fast Stokesian dynamics
- Structured Matrix Approximations via Tensor Decompositions
- Horseshoe Priors for Edge-Preserving Linear Bayesian Inversion
- Preserving Positive Definiteness in Hierarchically Semiseparable Matrix Approximations
- A determinant-free method to simulate the parameters of large Gaussian fields
- High-dimensional Gaussian sampling: a review and a unifying approach based on a stochastic proximal point algorithm
- Stochastic modeling of inhomogeneities in the aortic wall and uncertainty quantification using a Bayesian encoder-decoder surrogate
- Efficient D-optimal design of experiments for infinite-dimensional Bayesian linear inverse problems
This page was built for publication: Preconditioned Krylov subspace methods for sampling multivariate Gaussian distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2874997)
