Preconditioned Krylov subspace methods for sampling multivariate Gaussian distributions
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Publication:2874997
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)
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