Preconditioned Krylov Subspace Methods for Sampling Multivariate Gaussian Distributions

DOI10.1137/130920587zbMath1296.60087OpenAlexW2084813411WikidataQ56698237 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)

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