Sparse Cholesky Factorization by Kullback--Leibler Minimization
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Publication:4997432
DOI10.1137/20M1336254MaRDI QIDQ4997432FDOQ4997432
Authors: Florian Schäfer, Matthias Katzfuss, Houman Owhadi 
Publication date: 29 June 2021
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.14455
Cholesky factorizationGaussian process regressionintegral equationscreening effectfactorized approximate inversevecchia approximation
Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Computational methods for sparse matrices (65F50) Martingales with discrete parameter (60G42) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Analysis of algorithms (68W40)
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Cited In (32)
- On Using Cholesky-Based Factorizations and Regularization for Solving Rank-Deficient Sparse Linear Least-Squares Problems
- Multi-scale Vecchia approximations of Gaussian processes
- Learning particle swarming models from data with Gaussian processes
- Scalable Bayesian Transport Maps for High-Dimensional Non-Gaussian Spatial Fields
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- Sparse Cholesky factorization by Kullback-Leibler minimization
- Do ideas have shape? Idea registration as the continuous limit of artificial neural networks
- An adaptive factorized Nyström preconditioner for regularized kernel matrices
- Hierarchical sparse Cholesky decomposition with applications to high-dimensional spatio-temporal filtering
- Sparse Recovery of Elliptic Solvers from Matrix-Vector Products
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- Variational Bayesian inference for CP tensor completion with subspace information
- Scalable spatio-temporal smoothing via hierarchical sparse Cholesky decomposition
- Fast macroscopic forcing method
- Kernel methods are competitive for operator learning
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- Leveraging viscous Hamilton-Jacobi PDEs for uncertainty quantification in scientific machine learning
- Error analysis of kernel/GP methods for nonlinear and parametric PDEs
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- Correlation-based sparse inverse Cholesky factorization for fast Gaussian-process inference
- Solving and learning nonlinear PDEs with Gaussian processes
- Bayesian nonstationary and nonparametric covariance estimation for large spatial data (with discussion)
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