Smooth random functions, random ODEs, and Gaussian processes

DOI10.1137/17M1161853zbMATH Open1412.42006WikidataQ128493297 ScholiaQ128493297MaRDI QIDQ4621288FDOQ4621288

Authors: Silviu-Ioan Filip, Aurya Javeed, Lloyd N. Trefethen 

Publication date: 11 February 2019

Published in: SIAM Review (Search for Journal in Brave)

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zbMATH Keywords

Gaussian processstochastic differential equationBrownian motionwhite noiseDirichlet kernelenergy landscapeChebfunband-limited white noiseFourier-Wiener series

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Gaussian processes (60G15) Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16)

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Cited In (13)

• Enhancing predictive capabilities in data-driven dynamical modeling with automatic differentiation: Koopman and neural ODE approaches
• Efficient reduced-rank methods for Gaussian processes with eigenfunction expansions
• Representation of conformal maps by rational functions
• Eight Perspectives on the Exponentially Ill-Conditioned Equation $\varepsilon y - x y' + y = 0$
• Low rank approximation in the computation of first kind integral equations with TauToolbox
• FEAST for differential eigenvalue problems
• Feedforward control for a manipulator with flexure joints using a Lagrangian neural network
• Building hierarchies of semiclassical Jacobi polynomials for spectral methods in annuli
• Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function
• Enclosing Chebyshev expansions in linear time
• The Laurent-Horner method for validated evaluation of Chebyshev expansions
• Principled interpolation of Green's functions learned from data
• Solving Laplace problems with corner singularities via rational functions

Uses Software

• Chebfun
• ElemStatLearn

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