Computing f‐divergences and distances of high‐dimensional probability density functions

DOI10.1002/NLA.2467OpenAlexW4295847195WikidataQ114235384 ScholiaQ114235384MaRDI QIDQ6133040FDOQ6133040

Authors: Alexander Litvinenko, Youssef M. Marzouk, Hermann G. Matthies, Marco Scavino, Alessio Spantini 

Publication date: 17 August 2023

Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nla.2467

zbMATH Keywords

Kullback-Leibler divergencelow-rank approximationtensor representationcomputational algorithms\(f\)-divergencehigh-dimensional probability density

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Computational methods for problems pertaining to statistics (62-08) Multivariate distribution of statistics (62H10) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic models, generic numerical methods in probability and statistics (65C20) Measures of information, entropy (94A17) Multidimensional problems (41A63) Interpolation in approximation theory (41A05) Approximation by arbitrary linear expressions (41A45) Numerical computation of matrix exponential and similar matrix functions (65F60) Numerical methods for low-rank matrix approximation; matrix compression (65F55)

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