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Probabilistic numerics

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2884:. To describe this connection consider the optimal recovery setting of Micchelli and Rivlin in which one tries to approximate an unknown function from a finite number of linear measurements on that function. Interpreting this optimal recovery problem as a zero-sum game where Player I selects the unknown function and Player II selects its approximation, and using relative errors in a quadratic norm to define losses, Gaussian priors emerge as optimal mixed strategies for such games, and the covariance operator of the optimal Gaussian prior is determined by the quadratic norm used to define the relative error of the recovery. 1388: 1734: 2865:(IBC), the branch of computational complexity founded on the observation that numerical implementation requires computation with partial information and limited resources. In IBC, the performance of an algorithm operating on incomplete information can be analyzed in the worst-case or the average-case (randomized) setting with respect to the missing information. Moreover, as Packel observed, the average case setting could be interpreted as a 752: 234: 125:, formulating the relationship between numbers computed by the computer (e.g. matrix-vector multiplications in linear algebra, gradients in optimization, values of the integrand or the vector field defining a differential equation) and the quantity in question (the solution of the linear problem, the minimum, the integral, the solution curve) in a 2093: 1820:
Randomisation-based methods are defined through random perturbations of standard deterministic numerical methods for ordinary differential equations. For example, this has been achieved by adding Gaussian perturbations on the solution of one-step integrators or by perturbing randomly their time-step.
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The boundary between these two categories is not sharp, indeed a Gaussian process regression approach based on randomised data was developed as well. These methods have been applied to problems in computational Riemannian geometry, inverse problems, latent force models, and to differential equations
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Since they use and allow for an explicit likelihood describing the relationship between computed numbers and target quantity, probabilistic numerical methods can use the results of even highly imprecise, biased and stochastic computations. Conversely, probabilistic numerical methods can also provide
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is conditioned on partially-known physics, given by uncertain boundary conditions (BC) and a linear PDE, as well as on noisy physical measurements from experiment. The boundary conditions and the right-hand side of the PDE are not known but inferred from a small set of noise-corrupted measurements.
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Gaussian process regression methods are based on posing the problem of solving the differential equation at hand as a Gaussian process regression problem, interpreting evaluations of the right-hand side as data on the derivative. These techniques resemble to Bayesian cubature, but employ different
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and collaborators, interplays between numerical approximation and statistical inference can also be traced back to Palasti and Renyi, Sard, Kimeldorf and Wahba (on the correspondence between Bayesian estimation and spline smoothing/interpolation) and Larkin (on the correspondence between
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prior conditioned on observations. This belief then guides the algorithm in obtaining observations that are likely to advance the optimization process. Bayesian optimization policies are usually realized by transforming the objective function posterior into an inexpensive, differentiable
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cannot be computed in reasonable time. Hence, generally mini-batching is used to construct estimators of these quantities on a random subset of the data. Probabilistic numerical methods model this uncertainty explicitly and allow for automated decisions and parameter tuning.
1667:. Methods typically assume a Gaussian distribution, due to its closedness under linear observations of the problem. While conceptually different, these two views are computationally equivalent and inherently connected via the right-hand-side through 1816:, have been developed for initial and boundary value problems. Many different probabilistic numerical methods designed for ordinary differential equations have been proposed, and these can broadly be grouped into the two following categories: 977: 200:
Sources from multiple sources of information (e.g. algebraic, mechanistic knowledge about the form of a differential equation, and observations of the trajectory of the system collected in the physical world) can be combined naturally and
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regression and numerical approximation). Although the approach of modelling a perfectly known function as a sample from a random process may seem counterintuitive, a natural framework for understanding it can be found in
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in an adversarial game obtained by lifting a (worst-case) minmax problem to a minmax problem over mixed (randomized) strategies. This observation leads to a natural connection between numerical approximation and
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These advantages are essentially the equivalent of similar functional advantages that Bayesian methods enjoy over point-estimates in machine learning, applied or transferred to the computational domain.
827:. A welcome side effect from this approach is that uncertainty in the objective function, as measured by the underlying probabilistic belief, can guide an optimization policy in addressing the classic 2271: 2726: 2469: 1626: 182:
Hierarchical Bayesian inference can be used to set and control internal hyperparameters in such methods in a generic fashion, rather than having to re-invent novel methods for each parameter
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as this allows us to obtain a closed-form posterior distribution on the integral which is a univariate Gaussian distribution. Bayesian quadrature is particularly useful when the function
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Briol, F.-X.; Oates, C. J.; Girolami, M.; Osborne, M. A.; Sejdinovic, D. (2019). "Probabilistic integration: A role in statistical computation? (with discussion and rejoinder)".
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Abdulle, A.; Garegnani, G. (2021). "A probabilistic finite element method based on random meshes: A posteriori error estimators and Bayesian inverse problems".
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error estimates (in particular, the ability to return joint posterior samples, i.e. multiple realistic hypotheses for the true unknown solution of the problem)
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evaluations of the integrand (shown in black). Shaded areas in the left column illustrate the marginal standard deviations. The right figure shows the prior (
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Abdulle, A.; Garegnani, G. (2020). "Random time step probabilistic methods for uncertainty quantification in chaotic and geometric numerical integration".
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A large class of methods are iterative in nature and collect information about the linear system to be solved via repeated matrix-vector multiplication
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Operator-Adapted Wavelets, Fast Solvers, and Numerical Homogenization: From a Game Theoretic Approach to Numerical Approximation and Algorithm Design
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Probabilistic numerical PDE solvers based on Gaussian process regression recover classical methods on linear PDEs for certain priors, in particular
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A later seminal contribution to the interplay of numerical analysis and probability was provided by Albert Suldin in the context of univariate
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Pförtner, M.; Steinwart, I.; Hennig, P.; Wenger, J. (2022). "Physics-Informed Gaussian Process Regression Generalizes Linear PDE Solvers".
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of a numerical method. Suldin's point of view was later extended by Mike Larkin. Note that Suldin's Brownian motion prior on the integrand
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Bayesian optimization of a function (black) with Gaussian processes (purple). Three acquisition functions (blue) are shown at the bottom.
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propagation of the approximation error to a combined Gaussian process posterior, which quantifies the uncertainty arising from both the
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Many of the most popular classic numerical algorithms can be re-interpreted in the probabilistic framework. This includes the method of
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as the output. In most cases, numerical algorithms also take internal adaptive decisions about which numbers to compute, which form an
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Because all probabilistic numerical methods use essentially the same data type – probability measures – to quantify uncertainty over
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Probabilistic numerical methods promise several conceptual advantages over classic, point-estimate based approximation techniques:
2222:. Precursors to what is now being called "probabilistic numerics" can be found as early as the late 19th and early 20th century. 1830: 187: 2225:
The origins of probabilistic numerics can be traced to a discussion of probabilistic approaches to polynomial interpolation by
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regression. This was later improved (in terms of efficient computation) in favor of Gauss–Markov priors modeled by the
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that is maximized to select each successive observation location. One prominent approach is to model optimization via
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is a real-valued Gaussian random variable. In particular, after conditioning on the observed pointwise values of
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Hans Kersting; Nicholas Krämer; Martin Schiegg; Christian Daniel; Michael Tiemann; Philipp Hennig (2020).
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Mahsereci, M.; Balles, L.; Lassner, C.; Hennig, H. (2021). "Early Stopping without a Validation Set".
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prior and likelihood. In such cases, the variance of the Gaussian posterior is then associated with a
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This defines a probability measure on the solution of the differential equation that can be sampled.
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and often non-linear observation models. In its infancy, this class of methods was based on naive
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Probabilistic solutions to differential equations and their application to Riemannian statistics
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they can be chained together to propagate uncertainty across large-scale, composite computations
4768:"A correspondence between Bayesian estimation on stochastic processes and smoothing by splines" 2428:. The statistical problem considered by Suldin was the approximation of the definite integral 1670: 1631: 4939: 4804: 4742: 4589: 4537: 4085: 3932: 3603: 3474: 3176: 3101: 3045: 2964: 2226: 122: 2096:
Learning to solve a partial differential equation. A problem-specific Gaussian process prior
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Scientific field at the intersection of statistics, machine learning and applied mathematics
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A Probabilistic State Space Model for Joint Inference from Differential Equations and Data
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Oates, C. J.; Sullivan, T. J. (2019). "A modern retrospective on probabilistic numerics".
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Suldin, A. V. (1959). "Wiener measure and its applications to approximation methods. I".
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Probabilistic numerical linear algebra routines have been successfully applied to scale
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Optimal estimation in approximation theory (Proc. Internat. Sympos., Freudenstadt, 1976
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Probabilistic numerical methods for linear algebra have primarily focused on solving
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Chkrebtii, Oksana A.; Campbell, David A.; Calderhead, Ben; Girolami, Mark A. (2016).
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Differentiable Likelihoods for Fast Inversion of 'Likelihood-Free' Dynamical Systems
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given (possibly noisy or indirect) evaluations of that function at a set of points.
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of the algorithm, removing otherwise necessary nested loops in computation, e.g. in
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Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences
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is large and cannot be processed at once meaning that local quantities (given some
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Proceedings of the 33rd Conference on Uncertainty in Artificial Intelligence (UAI)
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Formally, this means casting the setup of the computational problem in terms of a
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Hennig, Philipp; Kiefel, Martin (2013). "Quasi-Newton methods: A new direction".
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numerical algorithm, this process of approximation is thought of as a problem of
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the solution to a mathematical problem (examples below include the solution to a
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Wenger, J.; Pleiss, G.; Hennig, P.; Cunningham, J. P.; Gardner, J. R. (2022).
3894: 3854: 3796: 3718: 3292: 2902:: Probabilistic numerical ODE solvers based on filtering implemented in Julia. 2682: 31: 4647: 4630: 4541: 3936: 3105: 3069: 763:, which consist of finding the minimum or maximum of some objective function 737:
is expensive to evaluate and the dimension of the data is small to moderate.
4318:"A probabilistic model for the numerical solution of initial value problems" 4054:
Conrad, P.R.; Girolami, M.; Särkkä, S.; Stuart, A.M.; Zygalakis, K. (2017).
2837:{\displaystyle \textstyle {\frac {1}{12}}\sum _{i=2}^{n}(t_{i}-t_{i-1})^{3}} 4089: 3765:"Dissecting Adam: The Sign, Magnitude and Variance of Stochastic Gradients" 3180: 3162: 4631:"Gaussian measure in Hilbert space and applications in numerical analysis" 3642: 4506:"Bayesian Solution Uncertainty Quantification for Differential Equations" 4369:"Bayesian solution uncertainty quantification for differential equations" 3990:
Preconditioning for Scalable Gaussian Process Hyperparameter Optimization
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Micchelli, C. A.; Rivlin, T. J. (1977). "A survey of optimal recovery".
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Chkrebtii, O.; Campbell, D. A.; Calderhead, B.; Girolami, M. A. (2016).
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A number of probabilistic numerical methods have also been proposed for
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and that the operations of integration and of point wise evaluation of
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Probabilistic numerical methods have been developed for the problem of
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Probabilistic numerical methods have been developed in the context of
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throughout the optimization procedure; this often takes the form of a
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Hennig, P. (2015). "Probabilistic interpretation of linear solvers".
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is touched upon by a number of other areas of mathematics, including
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Proceedings of the 35th International Conference on Machine Learning
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Schmidt, Jonathan; Krämer, Peter Nicholas; Hennig, Philipp (2021).
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Traub, J. F.; Wasilkowski, G. W.; Woźniakowski, H. (1988).
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Cockayne, J.; Oates, C. J.; Sullivan, T. J.; Girolami, M. (2019).
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Samples from the first component of the numerical solution of the
2908:: Adaptable Python toolbox for decision-making under uncertainty. 4020:
Wenger, J.; Pförtner, M.; Hennig, P.; Cunningham, J. P. (2022).
3450:. Advances in Neural Information Processing Systems (NeurIPS). 3420:. Advances in Neural Information Processing Systems (NeurIPS). 2752:
with mean equal to the trapezoidal rule and variance equal to
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that can be associated with the posterior mean arising from a
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Posterior and Computational Uncertainty in Gaussian Processes
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Schäfer, Florian; Katzfuss, Matthias; Owhadi, Houman (2021).
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with random coefficients, and asked for "probable values" of
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Siems J. N.; Klein A.; Archambeau C.; Mahsereci, M. (2021).
3307:(3). International Society for Bayesian Analysis: 937–1012. 989: 4707:(1956). "On interpolation theory and the theory of games". 4026:
Advances in Neural Information Processing Systems (NeurIPS)
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Advances in Neural Information Processing Systems (NeurIPS)
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of the linear system or the (pseudo-)inverse of the matrix
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Illustration of a matrix-based probabilistic linear solver.
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Bayesian quadrature with a Gaussian process conditioned on
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Tronarp, F.; Kersting, H.; Särkkä, S.; Hennig, P (2019).
3643:"Probabilistic Line Searches for Stochastic Optimization" 4662:
Owhadi, Houman; Scovel, Clint; Schäfer, Florian (2019).
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8th ICML Workshop on Automated Machine Learning (AutoML)
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In this setting, the optimization objective is often an
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Probabilistic line searches for stochastic optimization
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are seen as problems of statistical, probabilistic, or
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Active Uncertainty Calibration in Bayesian ODE Solvers
3983: 3981: 3790: 3788: 3435:. International Conference on Machine Learning (ICML). 2759: 2692: 2435: 986: 873: 671: 478: 4563: 4561: 4559: 3286: 3284: 3282: 2758: 2734: 2691: 2667: 2643: 2567: 2547: 2527: 2477: 2434: 2389: 2340: 2312: 2283: 2243: 2149: 2123: 2102: 2068:. Inference can thus be implemented efficiently with 2050: 2021: 1992: 1972: 1952: 1923: 1838: 1754: 1673: 1634: 1588: 1552: 1523: 1490: 1470: 1450: 1430: 1401: 1360: 1328: 1283: 1254: 1234: 1214: 1208:. Epistemic uncertainty arises when the dataset size 1194: 1174: 1154: 1118: 1067: 985: 872: 796: 786:
Perhaps the most notable effort in this direction is
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Bayesian solution of ordinary differential equations
3960:"Probabilistic Kernel-Matrix Determinant Estimation" 3859:"Probabilistic iterative methods for linear systems" 3461:
Diaconis, P. (1988). "Bayesian Numerical Analysis".
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Hennig, P.; Osborne, M. A.; Kersting, H. P. (2022).
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International Conference on Machine Learning (ICML)
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Probabilistic Approaches to Stochastic Optimization
3666:"Coupling Adaptive Batch Sizes with Learning Rates" 2721:{\displaystyle \textstyle \int u(t)\,\mathrm {d} t} 2464:{\displaystyle \textstyle \int u(t)\,\mathrm {d} t} 1741:
obtained with a probabilistic numerical integrator.
2836: 2740: 2720: 2673: 2649: 2617: 2553: 2533: 2509: 2463: 2413: 2375: 2326: 2298: 2265: 2162: 2135: 2108: 2077:with a geometric structure such as symplecticity. 2056: 2036: 2007: 1978: 1958: 1938: 1909: 1808: 1698: 1659: 1620: 1574: 1538: 1509: 1476: 1456: 1436: 1416: 1376: 1343: 1301: 1269: 1240: 1220: 1200: 1180: 1160: 1140: 1104: 1053: 971: 802: 775: 759:Probabilistic numerics have also been studied for 729: 705: 656: 636: 572: 552: 532: 512: 463: 417: 336: 304: 278: 4609:Izv. Vysš. Učebn. Zaved. Matematika 3463:Statistical Decision Theory and Related Topics IV 3374:Classical quadrature rules via Gaussian processes 3345:Probabilistic Linear Solvers for Machine Learning 3127:Hennig, P.; Osborne, M. A.; Girolami, M. (2015). 3508:O'Hagan, A. (1991). "Bayes–Hermite quadrature". 847:, in particular to address main issues such as 3801:"Probabilistic linear solvers: a unifying view" 3236: 3234: 3232: 2233:. In modern terminology, Poincaré considered a 1621:{\displaystyle b^{\intercal }z=x^{\intercal }v} 361:In numerical integration, function evaluations 186:a likelihood in computations often considered " 1713:to large datasets. In particular, they enable 4624: 4622: 4049: 4047: 4045: 3510:Journal of Statistical Planning and Inference 8: 4823:: CS1 maint: multiple names: authors list ( 4668:Notices of the American Mathematical Society 4489:: CS1 maint: multiple names: authors list ( 4246:Tronarp, F.; Särkkä, S.; Hennig, P. (2021). 4161:: CS1 maint: multiple names: authors list ( 4102:: CS1 maint: multiple names: authors list ( 3063: 3061: 1112:that quantifies how well a predictive model 1030: 997: 706:{\displaystyle \textstyle \int f(x)\nu (dx)} 513:{\displaystyle \textstyle \int f(x)\nu (dx)} 4316:Schober, M.; Särkkä, S.; Hennig, P (2019). 3664:Balles, L.; Romero, J.; Hennig, H. (2017). 3493:: CS1 maint: DOI inactive as of May 2024 ( 3389:Journal of Machine Learning Research (JMLR) 38:centering on the concept of uncertainty in 4827:) CS1 maint: numeric names: authors list ( 3196:"Bayesian probabilistic numerical methods" 2844:. This viewpoint is very close to that of 2541:, given access to pointwise evaluation of 4902: 4892: 4859: 4783: 4679: 4646: 4573: 4531: 4521: 4450: 4394: 4384: 4343: 4333: 4273: 4263: 4222: 4212: 4130: 4079: 4033: 4001: 3910: 3877: 3826: 3816: 3776: 3701: 3680: 3570: 3400: 3356: 3312: 3254: 3170: 3144: 3095: 3085: 2997: 2827: 2811: 2798: 2785: 2774: 2760: 2757: 2733: 2709: 2708: 2690: 2666: 2642: 2591: 2572: 2566: 2546: 2526: 2503: 2502: 2476: 2452: 2451: 2433: 2388: 2367: 2351: 2339: 2320: 2319: 2311: 2282: 2259: 2258: 2251: 2250: 2242: 2154: 2148: 2122: 2101: 2049: 2020: 1991: 1971: 1951: 1922: 1890: 1889: 1875: 1874: 1839: 1837: 1756: 1755: 1753: 1684: 1672: 1645: 1633: 1609: 1593: 1587: 1563: 1551: 1522: 1501: 1489: 1469: 1449: 1429: 1400: 1369: 1361: 1359: 1327: 1282: 1253: 1233: 1213: 1193: 1173: 1153: 1123: 1117: 1084: 1066: 1044: 1033: 1020: 1007: 988: 987: 984: 956: 943: 930: 914: 903: 889: 871: 795: 768: 722: 669: 649: 637:{\displaystyle f(x_{1}),\ldots ,f(x_{n})} 625: 597: 585: 565: 545: 525: 476: 455: 436: 430: 418:{\displaystyle f(x_{1}),\ldots ,f(x_{n})} 406: 378: 366: 317: 291: 265: 242: 3630:. Cambridge: Cambridge University Press. 3416:Maren Mahsereci; Philipp Hennig (2015). 2510:{\displaystyle u\colon \to \mathbb {R} } 2091: 1732: 1386: 750: 644:to obtain a posterior distribution over 232: 74:A numerical method is an algorithm that 46:such as finding numerical solutions for 2946: 1966:-dimensional vector modeling the first 1809:{\displaystyle {\dot {y}}(t)=f(t,y(t))} 1105:{\displaystyle \ell (y,f_{\theta }(x))} 821:Bayesian sequential experimental design 713:. The most common choice of prior is a 279:{\displaystyle n=0,3,\ {\text{and}}\ 8} 4816: 4482: 4424:Artificial Intelligence and Statistics 4303:Uncertainty in Artificial Intelligence 4154: 4095: 3535:Rasmussen, C.; Ghahramani, Z. (2002). 3486: 3297:"A Bayesian conjugate gradient method" 3038:Owhadi, Houman; Scovel, Clint (2019). 2618:{\displaystyle t_{1},\dots ,t_{n}\in } 352:, with the most popular method called 42:. In probabilistic numerics, tasks in 26:field of study at the intersection of 4664:"Statistical Numerical Approximation" 3544:Neural Information Processing Systems 3372:Karvonen, Toni; Särkkä, Simo (2017). 2170:of the latent boundary value problem. 829:exploration vs. exploitation tradeoff 60:simulation and differential equations 7: 4596:(second ed.). Gauthier-Villars. 4182:Maximum Entropy and Bayesian Methods 3899:SIAM Journal on Scientific Computing 3866:Journal of Machine Learning Research 3647:Journal of Machine Learning Research 3351:. Vol. 33. pp. 6731–6742. 3074:Multiscale Modeling & Simulation 3033: 3031: 3029: 3027: 3025: 1745:Probabilistic numerical methods for 3070:"Bayesian Numerical Homogenization" 2896:: Probabilistic Numerics in Python. 464:{\displaystyle x_{1},\ldots ,x_{n}} 79: 3641:Mahsereci, M.; Hennig, P. (2017). 2710: 2453: 2176:methods of mean weighted residuals 1891: 1876: 1840: 1284: 1168:performs on predicting the target 471:are used to estimate the integral 94:of a multivariate function). In a 14: 4439:Comput. Methods Appl. Mech. Engrg 4297:Kersting, H.; Hennig, P. (2016). 3605:ParBayesianOptimization R package 2327:{\displaystyle n\in \mathbb {N} } 1575:{\displaystyle z=A^{\intercal }v} 1302:{\displaystyle \nabla L(\theta )} 110:and realised in the framework of 91: 4418:Hennig, P.; Hauberg, S. (2014). 3744:(Thesis). Universität Tübingen. 1831:stochastic differential equation 83: 3763:Balles, L.; Hennig, H. (2018). 3343:Wenger, J.; Hennig, P. (2020). 2117:The plots juxtapose the belief 1747:ordinary differential equations 1729:Ordinary differential equations 580:and conditioning this prior on 3857:; Oates, C.; Reid, T. (2021). 2963:. Cambridge University Press. 2824: 2791: 2705: 2699: 2685:. Thus, the definite integral 2612: 2600: 2499: 2496: 2484: 2448: 2442: 2376:{\displaystyle f(a_{i})=B_{i}} 2357: 2344: 2293: 2287: 2255: 2087:partial differential equations 2081:Partial differential equations 2031: 2025: 2002: 1996: 1933: 1927: 1904: 1898: 1871: 1865: 1853: 1847: 1803: 1800: 1794: 1782: 1773: 1767: 1510:{\displaystyle H=A^{\dagger }} 1405: 1370: 1362: 1296: 1290: 1264: 1258: 1141:{\displaystyle f_{\theta }(x)} 1135: 1129: 1099: 1096: 1090: 1071: 1026: 1000: 965: 962: 949: 923: 883: 877: 699: 690: 684: 678: 631: 618: 603: 590: 506: 497: 491: 485: 412: 399: 384: 371: 1: 3602:Wilson, Samuel (2019-11-22), 2136:{\displaystyle u\mid \cdots } 1248:) such as the loss function 1188:from its corresponding input 4861:10.1016/0885-064X(87)90014-8 4801:Information-Based Complexity 3964:Probabilistic Linear Algebra 3522:10.1016/0378-3758(91)90002-V 3471:10.1007/978-1-4613-8768-8_20 3243:SIAM Journal on Optimization 2930:Information-based complexity 2863:information-based complexity 2414:{\displaystyle i=1,\dots ,n} 2212:information-based complexity 1723:finite amount of computation 4936:10.1007/978-1-4684-2388-4_1 3795:Bartels, S.; Cockayne, J.; 2235:Gaussian prior distribution 1417:{\displaystyle v\mapsto Av} 1320:systems of linear equations 4992: 4842:Packel, Edward W. (1987). 4275:10.1007/s11222-021-09993-7 4224:10.1007/s11222-019-09900-1 4141:10.1007/s11222-020-09926-w 3972:10.15496/publikation-56119 3828:10.1007/s11222-019-09897-7 3811:(6). Springer: 1249–1263. 3750:10.15496/publikation-26116 3008:10.1007/s11222-019-09902-z 2935:Uncertainty quantification 2877:, evidently influenced by 2194:History and related fields 2163:{\displaystyle u^{\star }} 1270:{\displaystyle L(\theta )} 744: 226: 80:linear system of equations 4469:10.1016/j.cma.2021.113961 4345:10.1007/s11222-017-9798-7 4072:10.1007/s11222-016-9671-0 3736:Mahsereci, Maren (2018). 3291:Cockayne, J.; Oates, C.; 1699:{\displaystyle x=A^{-1}b} 1660:{\displaystyle v=A^{-1}y} 855:, batch-size selection, 761:mathematical optimization 4648:10.1216/RMJ-1972-2-3-379 4322:Statistics and Computing 4252:Statistics and Computing 4201:Statistics and Computing 3805:Statistics and Computing 2273:, expressed as a formal 114:(often, but not always, 4785:10.1214/aoms/1177697089 4709:MTA Mat. Kat. Int. Kozl 4594:Calcul des Probabilités 3958:Bartels, Simon (2020). 3624:Garnett, Roman (2021). 3473:(inactive 2024-05-13). 3295:; Girolami, M. (2019). 3068:Owhadi, Houman (2015). 2231:Calcul des Probabilités 2143:with the true solution 1444:with different vectors 1424:with the system matrix 1351:and the computation of 1277:itself or its gradient 1241:{\displaystyle \theta } 1161:{\displaystyle \theta } 841:stochastic optimization 195:both inputs and outputs 168:for the squared error. 112:probabilistic inference 4762:Kimeldorf, George S.; 4635:Rocky Mountain J. Math 4629:Larkin, F. M. (1972). 3537:"Bayesian Monte Carlo" 3163:10.1098/rspa.2015.0142 3139:(2179): 20150142, 17. 2957:Probabilistic Numerics 2838: 2790: 2742: 2722: 2675: 2651: 2619: 2555: 2535: 2511: 2465: 2415: 2377: 2328: 2300: 2267: 2210:of numerical methods, 2198:The interplay between 2184:finite element methods 2171: 2164: 2137: 2110: 2058: 2038: 2009: 1980: 1960: 1940: 1911: 1810: 1742: 1700: 1661: 1622: 1576: 1540: 1511: 1478: 1458: 1438: 1418: 1392: 1378: 1345: 1303: 1271: 1242: 1222: 1202: 1182: 1162: 1142: 1106: 1055: 973: 919: 804: 777: 756: 731: 707: 658: 638: 574: 554: 534: 514: 465: 425:at a number of points 419: 345: 338: 306: 280: 158:least-squares estimate 131:posterior distribution 20:Probabilistic numerics 4176:Skilling, J. (1992). 3799:; Hennig, P. (2019). 3627:Bayesian Optimization 2925:Average-case analysis 2839: 2770: 2743: 2723: 2676: 2652: 2635:average-case analysis 2620: 2556: 2536: 2512: 2466: 2416: 2378: 2329: 2306:given this prior and 2301: 2268: 2208:average-case analysis 2165: 2138: 2111: 2095: 2059: 2039: 2010: 1981: 1961: 1941: 1912: 1811: 1736: 1719:finite number of data 1701: 1662: 1623: 1577: 1541: 1512: 1479: 1459: 1439: 1419: 1390: 1379: 1346: 1304: 1272: 1243: 1223: 1203: 1183: 1163: 1143: 1107: 1056: 979:defined by a dataset 974: 899: 805: 788:Bayesian optimization 778: 754: 747:Bayesian optimization 732: 708: 659: 639: 575: 555: 540:against some measure 535: 515: 466: 420: 350:numerical integration 339: 337:{\displaystyle n=3,8} 307: 281: 236: 203:inside the inner loop 88:differential equation 4731:Linear Approximation 2756: 2732: 2689: 2665: 2641: 2565: 2545: 2525: 2475: 2432: 2387: 2338: 2310: 2299:{\displaystyle f(x)} 2281: 2241: 2147: 2121: 2100: 2057:{\displaystyle \nu } 2048: 2037:{\displaystyle v(t)} 2019: 2008:{\displaystyle y(t)} 1990: 1979:{\displaystyle \nu } 1970: 1959:{\displaystyle \nu } 1950: 1939:{\displaystyle x(t)} 1921: 1836: 1752: 1671: 1632: 1586: 1550: 1539:{\displaystyle y=Av} 1521: 1488: 1468: 1448: 1428: 1399: 1358: 1344:{\displaystyle Ax=b} 1326: 1281: 1252: 1232: 1212: 1192: 1172: 1152: 1116: 1065: 983: 870: 817:acquisition function 794: 767: 721: 668: 648: 584: 564: 553:{\displaystyle \nu } 544: 524: 475: 429: 365: 316: 290: 241: 154:quasi-Newton methods 86:, the solution of a 4976:Applied mathematics 4875:Owhadi, H. (2017). 4461:2021CMAME.384k3961A 4426:. pp. 347–355. 4305:. pp. 309–318. 3921:2021SJSC...43A2019S 3559:Statistical Science 3155:2015RSPSA.47150142H 2846:Bayesian quadrature 2750:normal distribution 1377:{\displaystyle |A|} 1049: 355:Bayesian quadrature 305:{\displaystyle n=0} 229:Bayesian quadrature 166:worst-case estimate 150:Gaussian quadrature 142:conjugate gradients 127:likelihood function 28:applied mathematics 4966:Applied statistics 4904:10.1137/15M1013894 4772:Ann. Math. Statist 3929:10.1137/20M1336254 3905:(3): A2019–A2046. 3215:10.1137/17M1139357 2834: 2833: 2738: 2718: 2717: 2671: 2647: 2627:mean squared error 2615: 2551: 2531: 2507: 2461: 2460: 2411: 2373: 2324: 2296: 2263: 2218:, and statistical 2200:numerical analysis 2172: 2160: 2133: 2106: 2054: 2034: 2005: 1976: 1956: 1936: 1907: 1806: 1743: 1711:Gaussian processes 1696: 1657: 1618: 1572: 1536: 1507: 1474: 1454: 1434: 1414: 1393: 1374: 1341: 1299: 1267: 1238: 1218: 1198: 1178: 1158: 1138: 1102: 1051: 1050: 1029: 969: 968: 835:Local optimization 800: 773: 757: 727: 703: 702: 654: 634: 570: 550: 530: 510: 509: 461: 415: 346: 334: 312:) and posterior ( 302: 276: 129:, and returning a 123:prior distribution 116:Bayesian inference 82:, the value of an 64:Bayesian inference 44:numerical analysis 4945:978-1-4684-2390-7 4930:. pp. 1–54. 4674:(10): 1608–1617. 4533:10.1214/16-BA1017 4510:Bayesian Analysis 4396:10.1214/16-BA1017 4373:Bayesian Analysis 4184:. pp. 23–37. 3581:10.1214/18-STS660 3480:978-1-4613-8770-1 3314:10.1214/19-BA1145 3301:Bayesian Analysis 3265:10.1137/140955501 3097:10.1137/140974596 3051:978-1-108-48436-7 2768: 2741:{\displaystyle u} 2674:{\displaystyle u} 2650:{\displaystyle u} 2554:{\displaystyle u} 2534:{\displaystyle u} 2109:{\displaystyle u} 1764: 1721:observed and the 1477:{\displaystyle x} 1457:{\displaystyle v} 1437:{\displaystyle A} 1221:{\displaystyle N} 1201:{\displaystyle x} 1181:{\displaystyle y} 1148:parameterized by 897: 803:{\displaystyle f} 776:{\displaystyle f} 730:{\displaystyle f} 657:{\displaystyle f} 573:{\displaystyle f} 533:{\displaystyle f} 272: 268: 264: 146:Nordsieck methods 4983: 4971:Machine learning 4950: 4949: 4923: 4917: 4916: 4906: 4896: 4872: 4866: 4865: 4863: 4839: 4833: 4832: 4822: 4814: 4796: 4790: 4789: 4787: 4759: 4753: 4752: 4739:10.1090/surv/009 4723: 4717: 4716: 4700: 4694: 4693: 4683: 4681:10.1090/noti1963 4659: 4653: 4652: 4650: 4626: 4617: 4616: 4604: 4598: 4597: 4586: 4580: 4579: 4577: 4565: 4554: 4553: 4535: 4525: 4516:(4): 1239–1267. 4501: 4495: 4494: 4488: 4480: 4454: 4434: 4428: 4427: 4415: 4409: 4408: 4398: 4388: 4379:(4): 1239–1267. 4364: 4358: 4357: 4347: 4337: 4313: 4307: 4306: 4294: 4288: 4287: 4277: 4267: 4243: 4237: 4236: 4226: 4216: 4207:(6): 1297–1315. 4192: 4186: 4185: 4173: 4167: 4166: 4160: 4152: 4134: 4114: 4108: 4107: 4101: 4093: 4083: 4066:(4): 1065–1082. 4051: 4040: 4039: 4037: 4017: 4008: 4007: 4005: 3985: 3976: 3975: 3955: 3949: 3948: 3914: 3890: 3884: 3883: 3881: 3863: 3850: 3841: 3840: 3830: 3820: 3792: 3783: 3782: 3780: 3760: 3754: 3753: 3733: 3727: 3726: 3714: 3708: 3707: 3705: 3693: 3687: 3686: 3684: 3670: 3661: 3655: 3654: 3638: 3632: 3631: 3621: 3615: 3614: 3613: 3612: 3599: 3593: 3592: 3574: 3554: 3548: 3547: 3541: 3532: 3526: 3525: 3505: 3499: 3498: 3492: 3484: 3458: 3452: 3451: 3443: 3437: 3436: 3428: 3422: 3421: 3413: 3407: 3406: 3404: 3384: 3378: 3377: 3369: 3363: 3362: 3360: 3340: 3327: 3326: 3316: 3288: 3277: 3276: 3258: 3238: 3227: 3226: 3200: 3191: 3185: 3184: 3174: 3148: 3124: 3118: 3117: 3099: 3089: 3065: 3056: 3055: 3035: 3020: 3019: 3001: 2992:(6): 1335–1351. 2981: 2975: 2974: 2962: 2951: 2900:ProbNumDiffEq.jl 2858:Gaussian process 2843: 2841: 2840: 2835: 2832: 2831: 2822: 2821: 2803: 2802: 2789: 2784: 2769: 2761: 2747: 2745: 2744: 2739: 2727: 2725: 2724: 2719: 2713: 2680: 2678: 2677: 2672: 2659:Gaussian measure 2656: 2654: 2653: 2648: 2631:trapezoidal rule 2624: 2622: 2621: 2616: 2596: 2595: 2577: 2576: 2560: 2558: 2557: 2552: 2540: 2538: 2537: 2532: 2516: 2514: 2513: 2508: 2506: 2470: 2468: 2467: 2462: 2456: 2420: 2418: 2417: 2412: 2382: 2380: 2379: 2374: 2372: 2371: 2356: 2355: 2333: 2331: 2330: 2325: 2323: 2305: 2303: 2302: 2297: 2272: 2270: 2269: 2264: 2262: 2254: 2188:spectral methods 2180:Galerkin methods 2178:, which include 2169: 2167: 2166: 2161: 2159: 2158: 2142: 2140: 2139: 2134: 2115: 2113: 2112: 2107: 2070:Kalman filtering 2063: 2061: 2060: 2055: 2043: 2041: 2040: 2035: 2014: 2012: 2011: 2006: 1985: 1983: 1982: 1977: 1965: 1963: 1962: 1957: 1945: 1943: 1942: 1937: 1916: 1914: 1913: 1908: 1894: 1879: 1843: 1827:Gaussian process 1815: 1813: 1812: 1807: 1766: 1765: 1757: 1705: 1703: 1702: 1697: 1692: 1691: 1666: 1664: 1663: 1658: 1653: 1652: 1627: 1625: 1624: 1619: 1614: 1613: 1598: 1597: 1581: 1579: 1578: 1573: 1568: 1567: 1545: 1543: 1542: 1537: 1516: 1514: 1513: 1508: 1506: 1505: 1483: 1481: 1480: 1475: 1463: 1461: 1460: 1455: 1443: 1441: 1440: 1435: 1423: 1421: 1420: 1415: 1383: 1381: 1380: 1375: 1373: 1365: 1350: 1348: 1347: 1342: 1308: 1306: 1305: 1300: 1276: 1274: 1273: 1268: 1247: 1245: 1244: 1239: 1227: 1225: 1224: 1219: 1207: 1205: 1204: 1199: 1187: 1185: 1184: 1179: 1167: 1165: 1164: 1159: 1147: 1145: 1144: 1139: 1128: 1127: 1111: 1109: 1108: 1103: 1089: 1088: 1060: 1058: 1057: 1052: 1048: 1043: 1025: 1024: 1012: 1011: 993: 992: 978: 976: 975: 970: 961: 960: 948: 947: 935: 934: 918: 913: 898: 890: 825:utility function 812:Gaussian process 809: 807: 806: 801: 782: 780: 779: 774: 736: 734: 733: 728: 715:Gaussian process 712: 710: 709: 704: 663: 661: 660: 655: 643: 641: 640: 635: 630: 629: 602: 601: 579: 577: 576: 571: 559: 557: 556: 551: 539: 537: 536: 531: 519: 517: 516: 511: 470: 468: 467: 462: 460: 459: 441: 440: 424: 422: 421: 416: 411: 410: 383: 382: 343: 341: 340: 335: 311: 309: 308: 303: 285: 283: 282: 277: 270: 269: 266: 262: 207:inverse problems 36:machine learning 4991: 4990: 4986: 4985: 4984: 4982: 4981: 4980: 4956: 4955: 4954: 4953: 4946: 4925: 4924: 4920: 4874: 4873: 4869: 4841: 4840: 4836: 4815: 4811: 4798: 4797: 4793: 4761: 4760: 4756: 4749: 4725: 4724: 4720: 4702: 4701: 4697: 4661: 4660: 4656: 4628: 4627: 4620: 4606: 4605: 4601: 4590:Poincaré, Henri 4588: 4587: 4583: 4567: 4566: 4557: 4503: 4502: 4498: 4481: 4436: 4435: 4431: 4417: 4416: 4412: 4366: 4365: 4361: 4315: 4314: 4310: 4296: 4295: 4291: 4245: 4244: 4240: 4194: 4193: 4189: 4175: 4174: 4170: 4153: 4116: 4115: 4111: 4094: 4053: 4052: 4043: 4019: 4018: 4011: 3987: 3986: 3979: 3957: 3956: 3952: 3892: 3891: 3887: 3861: 3852: 3851: 3844: 3794: 3793: 3786: 3762: 3761: 3757: 3735: 3734: 3730: 3716: 3715: 3711: 3695: 3694: 3690: 3668: 3663: 3662: 3658: 3640: 3639: 3635: 3623: 3622: 3618: 3610: 3608: 3601: 3600: 3596: 3556: 3555: 3551: 3539: 3534: 3533: 3529: 3507: 3506: 3502: 3485: 3481: 3460: 3459: 3455: 3445: 3444: 3440: 3430: 3429: 3425: 3415: 3414: 3410: 3386: 3385: 3381: 3371: 3370: 3366: 3342: 3341: 3330: 3290: 3289: 3280: 3249:(1): 2347–260. 3240: 3239: 3230: 3198: 3193: 3192: 3188: 3126: 3125: 3121: 3067: 3066: 3059: 3052: 3037: 3036: 3023: 2983: 2982: 2978: 2971: 2960: 2953: 2952: 2948: 2943: 2921: 2890: 2882:theory of games 2875:decision theory 2823: 2807: 2794: 2754: 2753: 2748:, it follows a 2730: 2729: 2687: 2686: 2663: 2662: 2639: 2638: 2587: 2568: 2563: 2562: 2543: 2542: 2523: 2522: 2519:Brownian motion 2473: 2472: 2430: 2429: 2385: 2384: 2363: 2347: 2336: 2335: 2308: 2307: 2279: 2278: 2239: 2238: 2220:decision theory 2196: 2150: 2145: 2144: 2119: 2118: 2098: 2097: 2083: 2066:Brownian motion 2046: 2045: 2017: 2016: 1988: 1987: 1986:derivatives of 1968: 1967: 1948: 1947: 1919: 1918: 1834: 1833: 1750: 1749: 1731: 1680: 1669: 1668: 1641: 1630: 1629: 1605: 1589: 1584: 1583: 1559: 1548: 1547: 1519: 1518: 1497: 1486: 1485: 1466: 1465: 1446: 1445: 1426: 1425: 1397: 1396: 1356: 1355: 1324: 1323: 1316: 1279: 1278: 1250: 1249: 1230: 1229: 1210: 1209: 1190: 1189: 1170: 1169: 1150: 1149: 1119: 1114: 1113: 1080: 1063: 1062: 1016: 1003: 981: 980: 952: 939: 926: 868: 867: 837: 792: 791: 765: 764: 749: 743: 719: 718: 666: 665: 646: 645: 621: 593: 582: 581: 562: 561: 542: 541: 522: 521: 473: 472: 451: 432: 427: 426: 402: 374: 363: 362: 314: 313: 288: 287: 239: 238: 231: 225: 220: 218:Numerical tasks 188:likelihood-free 135:active learning 72: 17: 12: 11: 5: 4989: 4987: 4979: 4978: 4973: 4968: 4958: 4957: 4952: 4951: 4944: 4918: 4867: 4854:(3): 244–257. 4834: 4809: 4791: 4778:(2): 495–502. 4754: 4747: 4718: 4695: 4654: 4641:(3): 379–421. 4618: 4615:(13): 145–158. 4599: 4581: 4555: 4496: 4429: 4410: 4359: 4308: 4289: 4238: 4187: 4168: 4125:(4): 907–932. 4109: 4041: 4009: 3977: 3950: 3885: 3853:Cockayne, J.; 3842: 3784: 3755: 3728: 3709: 3688: 3656: 3633: 3616: 3594: 3549: 3527: 3516:(3): 245–260. 3500: 3479: 3453: 3438: 3423: 3408: 3395:(1): 843–865. 3379: 3364: 3328: 3278: 3228: 3209:(4): 756–789. 3186: 3119: 3080:(3): 812–828. 3057: 3050: 3021: 2976: 2970:978-1107163447 2969: 2945: 2944: 2942: 2939: 2938: 2937: 2932: 2927: 2920: 2917: 2916: 2915: 2909: 2903: 2897: 2889: 2886: 2867:mixed strategy 2830: 2826: 2820: 2817: 2814: 2810: 2806: 2801: 2797: 2793: 2788: 2783: 2780: 2777: 2773: 2767: 2764: 2737: 2716: 2712: 2707: 2704: 2701: 2698: 2695: 2670: 2646: 2614: 2611: 2608: 2605: 2602: 2599: 2594: 2590: 2586: 2583: 2580: 2575: 2571: 2550: 2530: 2505: 2501: 2498: 2495: 2492: 2489: 2486: 2483: 2480: 2471:of a function 2459: 2455: 2450: 2447: 2444: 2441: 2438: 2410: 2407: 2404: 2401: 2398: 2395: 2392: 2370: 2366: 2362: 2359: 2354: 2350: 2346: 2343: 2322: 2318: 2315: 2295: 2292: 2289: 2286: 2261: 2257: 2253: 2249: 2246: 2237:on a function 2227:Henri Poincaré 2195: 2192: 2157: 2153: 2132: 2129: 2126: 2105: 2082: 2079: 2074: 2073: 2072:based methods. 2053: 2033: 2030: 2027: 2024: 2004: 2001: 1998: 1995: 1975: 1955: 1935: 1932: 1929: 1926: 1906: 1903: 1900: 1897: 1893: 1888: 1885: 1882: 1878: 1873: 1870: 1867: 1864: 1861: 1858: 1855: 1852: 1849: 1846: 1842: 1822: 1805: 1802: 1799: 1796: 1793: 1790: 1787: 1784: 1781: 1778: 1775: 1772: 1769: 1763: 1760: 1730: 1727: 1695: 1690: 1687: 1683: 1679: 1676: 1656: 1651: 1648: 1644: 1640: 1637: 1617: 1612: 1608: 1604: 1601: 1596: 1592: 1571: 1566: 1562: 1558: 1555: 1535: 1532: 1529: 1526: 1504: 1500: 1496: 1493: 1473: 1453: 1433: 1413: 1410: 1407: 1404: 1372: 1368: 1364: 1340: 1337: 1334: 1331: 1315: 1314:Linear algebra 1312: 1298: 1295: 1292: 1289: 1286: 1266: 1263: 1260: 1257: 1237: 1217: 1197: 1177: 1157: 1137: 1134: 1131: 1126: 1122: 1101: 1098: 1095: 1092: 1087: 1083: 1079: 1076: 1073: 1070: 1047: 1042: 1039: 1036: 1032: 1028: 1023: 1019: 1015: 1010: 1006: 1002: 999: 996: 991: 967: 964: 959: 955: 951: 946: 942: 938: 933: 929: 925: 922: 917: 912: 909: 906: 902: 896: 893: 888: 885: 882: 879: 876: 864:empirical risk 857:early stopping 836: 833: 799: 772: 742: 739: 726: 701: 698: 695: 692: 689: 686: 683: 680: 677: 674: 653: 633: 628: 624: 620: 617: 614: 611: 608: 605: 600: 596: 592: 589: 569: 549: 529: 520:of a function 508: 505: 502: 499: 496: 493: 490: 487: 484: 481: 458: 454: 450: 447: 444: 439: 435: 414: 409: 405: 401: 398: 395: 392: 389: 386: 381: 377: 373: 370: 333: 330: 327: 324: 321: 301: 298: 295: 275: 261: 258: 255: 252: 249: 246: 227:Main article: 224: 221: 219: 216: 211: 210: 198: 191: 183: 180: 71: 68: 52:linear algebra 15: 13: 10: 9: 6: 4: 3: 2: 4988: 4977: 4974: 4972: 4969: 4967: 4964: 4963: 4961: 4947: 4941: 4937: 4933: 4929: 4922: 4919: 4914: 4910: 4905: 4900: 4895: 4890: 4887:(1): 99–149. 4886: 4882: 4878: 4871: 4868: 4862: 4857: 4853: 4849: 4848:J. Complexity 4845: 4838: 4835: 4830: 4826: 4820: 4812: 4810:0-12-697545-0 4806: 4802: 4795: 4792: 4786: 4781: 4777: 4773: 4769: 4765: 4758: 4755: 4750: 4748:9780821815090 4744: 4740: 4736: 4732: 4728: 4722: 4719: 4714: 4710: 4706: 4703:Palasti, I.; 4699: 4696: 4691: 4687: 4682: 4677: 4673: 4669: 4665: 4658: 4655: 4649: 4644: 4640: 4636: 4632: 4625: 4623: 4619: 4614: 4610: 4603: 4600: 4595: 4591: 4585: 4582: 4576: 4571: 4564: 4562: 4560: 4556: 4551: 4547: 4543: 4539: 4534: 4529: 4524: 4519: 4515: 4511: 4507: 4500: 4497: 4492: 4486: 4478: 4474: 4470: 4466: 4462: 4458: 4453: 4448: 4444: 4440: 4433: 4430: 4425: 4421: 4414: 4411: 4406: 4402: 4397: 4392: 4387: 4382: 4378: 4374: 4370: 4363: 4360: 4355: 4351: 4346: 4341: 4336: 4331: 4328:(1): 99–122. 4327: 4323: 4319: 4312: 4309: 4304: 4300: 4293: 4290: 4285: 4281: 4276: 4271: 4266: 4261: 4257: 4253: 4249: 4242: 4239: 4234: 4230: 4225: 4220: 4215: 4210: 4206: 4202: 4198: 4191: 4188: 4183: 4179: 4172: 4169: 4164: 4158: 4150: 4146: 4142: 4138: 4133: 4128: 4124: 4120: 4113: 4110: 4105: 4099: 4091: 4087: 4082: 4077: 4073: 4069: 4065: 4061: 4057: 4050: 4048: 4046: 4042: 4036: 4031: 4027: 4023: 4016: 4014: 4010: 4004: 3999: 3995: 3991: 3984: 3982: 3978: 3973: 3969: 3965: 3961: 3954: 3951: 3946: 3942: 3938: 3934: 3930: 3926: 3922: 3918: 3913: 3908: 3904: 3900: 3896: 3889: 3886: 3880: 3875: 3872:(232): 1–34. 3871: 3867: 3860: 3856: 3849: 3847: 3843: 3838: 3834: 3829: 3824: 3819: 3814: 3810: 3806: 3802: 3798: 3791: 3789: 3785: 3779: 3774: 3770: 3766: 3759: 3756: 3751: 3747: 3743: 3739: 3732: 3729: 3724: 3720: 3713: 3710: 3704: 3699: 3692: 3689: 3683: 3678: 3674: 3667: 3660: 3657: 3652: 3648: 3644: 3637: 3634: 3629: 3628: 3620: 3617: 3607: 3606: 3598: 3595: 3590: 3586: 3582: 3578: 3573: 3568: 3564: 3560: 3553: 3550: 3545: 3538: 3531: 3528: 3523: 3519: 3515: 3511: 3504: 3501: 3496: 3490: 3482: 3476: 3472: 3468: 3464: 3457: 3454: 3449: 3442: 3439: 3434: 3427: 3424: 3419: 3412: 3409: 3403: 3398: 3394: 3390: 3383: 3380: 3375: 3368: 3365: 3359: 3354: 3350: 3346: 3339: 3337: 3335: 3333: 3329: 3324: 3320: 3315: 3310: 3306: 3302: 3298: 3294: 3287: 3285: 3283: 3279: 3274: 3270: 3266: 3262: 3257: 3252: 3248: 3244: 3237: 3235: 3233: 3229: 3224: 3220: 3216: 3212: 3208: 3204: 3197: 3190: 3187: 3182: 3178: 3173: 3168: 3164: 3160: 3156: 3152: 3147: 3142: 3138: 3134: 3130: 3123: 3120: 3115: 3111: 3107: 3103: 3098: 3093: 3088: 3083: 3079: 3075: 3071: 3064: 3062: 3058: 3053: 3047: 3043: 3042: 3034: 3032: 3030: 3028: 3026: 3022: 3017: 3013: 3009: 3005: 3000: 2995: 2991: 2987: 2980: 2977: 2972: 2966: 2959: 2958: 2950: 2947: 2940: 2936: 2933: 2931: 2928: 2926: 2923: 2922: 2918: 2913: 2910: 2907: 2904: 2901: 2898: 2895: 2892: 2891: 2887: 2885: 2883: 2880: 2879:von Neumann's 2876: 2873: 2868: 2864: 2859: 2854: 2853:Houman Owhadi 2849: 2847: 2828: 2818: 2815: 2812: 2808: 2804: 2799: 2795: 2786: 2781: 2778: 2775: 2771: 2765: 2762: 2751: 2735: 2714: 2702: 2696: 2693: 2684: 2668: 2660: 2644: 2636: 2632: 2628: 2609: 2606: 2603: 2597: 2592: 2588: 2584: 2581: 2578: 2573: 2569: 2548: 2528: 2520: 2493: 2490: 2487: 2481: 2478: 2457: 2445: 2439: 2436: 2427: 2422: 2408: 2405: 2402: 2399: 2396: 2393: 2390: 2368: 2364: 2360: 2352: 2348: 2341: 2334:observations 2316: 2313: 2290: 2284: 2276: 2247: 2244: 2236: 2232: 2228: 2223: 2221: 2217: 2213: 2209: 2205: 2201: 2193: 2191: 2189: 2186:, as well as 2185: 2181: 2177: 2155: 2151: 2130: 2127: 2124: 2103: 2094: 2090: 2088: 2080: 2078: 2071: 2067: 2064:-dimensional 2051: 2028: 2022: 1999: 1993: 1973: 1953: 1930: 1924: 1901: 1895: 1886: 1883: 1880: 1868: 1862: 1859: 1856: 1850: 1844: 1832: 1828: 1823: 1819: 1818: 1817: 1797: 1791: 1788: 1785: 1779: 1776: 1770: 1761: 1758: 1748: 1740: 1739:Lorenz system 1735: 1728: 1726: 1724: 1720: 1716: 1712: 1707: 1693: 1688: 1685: 1681: 1677: 1674: 1654: 1649: 1646: 1642: 1638: 1635: 1615: 1610: 1606: 1602: 1599: 1594: 1590: 1569: 1564: 1560: 1556: 1553: 1533: 1530: 1527: 1524: 1502: 1498: 1494: 1491: 1471: 1451: 1431: 1411: 1408: 1402: 1389: 1385: 1366: 1354: 1338: 1335: 1332: 1329: 1321: 1313: 1311: 1293: 1287: 1261: 1255: 1235: 1215: 1195: 1175: 1155: 1132: 1124: 1120: 1093: 1085: 1081: 1077: 1074: 1068: 1061:, and a loss 1045: 1040: 1037: 1034: 1021: 1017: 1013: 1008: 1004: 994: 957: 953: 944: 940: 936: 931: 927: 920: 915: 910: 907: 904: 900: 894: 891: 886: 880: 874: 865: 860: 858: 854: 853:line searches 850: 849:learning rate 846: 845:deep learning 842: 834: 832: 830: 826: 822: 818: 813: 797: 789: 784: 770: 762: 753: 748: 740: 738: 724: 716: 696: 693: 687: 681: 675: 672: 651: 626: 622: 615: 612: 609: 606: 598: 594: 587: 567: 547: 527: 503: 500: 494: 488: 482: 479: 456: 452: 448: 445: 442: 437: 433: 407: 403: 396: 393: 390: 387: 379: 375: 368: 359: 357: 356: 351: 331: 328: 325: 322: 319: 299: 296: 293: 273: 259: 256: 253: 250: 247: 244: 235: 230: 222: 217: 215: 208: 204: 199: 196: 192: 189: 184: 181: 178: 174: 173: 172: 169: 167: 163: 159: 155: 151: 147: 143: 138: 136: 132: 128: 124: 119: 117: 113: 109: 105: 101: 97: 96:probabilistic 93: 89: 85: 81: 77: 69: 67: 65: 61: 57: 53: 49: 45: 41: 37: 33: 29: 25: 21: 4927: 4921: 4884: 4880: 4870: 4851: 4847: 4837: 4800: 4794: 4775: 4771: 4764:Wahba, Grace 4757: 4730: 4721: 4712: 4708: 4698: 4671: 4667: 4657: 4638: 4634: 4612: 4608: 4602: 4593: 4584: 4513: 4509: 4499: 4485:cite journal 4442: 4438: 4432: 4423: 4419: 4413: 4376: 4372: 4362: 4325: 4321: 4311: 4302: 4298: 4292: 4255: 4251: 4241: 4204: 4200: 4190: 4181: 4177: 4171: 4157:cite journal 4122: 4119:Stat. Comput 4118: 4112: 4098:cite journal 4063: 4060:Stat. Comput 4059: 4025: 4021: 3993: 3989: 3963: 3953: 3902: 3898: 3888: 3869: 3865: 3808: 3804: 3768: 3758: 3741: 3731: 3722: 3712: 3691: 3672: 3659: 3653:(119): 1–59. 3650: 3646: 3636: 3626: 3619: 3609:, retrieved 3604: 3597: 3562: 3558: 3552: 3543: 3530: 3513: 3509: 3503: 3489:cite journal 3462: 3456: 3447: 3441: 3432: 3426: 3417: 3411: 3392: 3388: 3382: 3373: 3367: 3348: 3344: 3304: 3300: 3246: 3242: 3206: 3202: 3189: 3136: 3132: 3122: 3077: 3073: 3040: 2989: 2986:Stat. Comput 2985: 2979: 2956: 2949: 2851:As noted by 2850: 2423: 2275:power series 2230: 2224: 2197: 2173: 2084: 2075: 2015:, and where 1744: 1722: 1718: 1714: 1708: 1394: 1353:determinants 1322:of the form 1317: 866:of the form 861: 838: 816: 785: 758: 741:Optimization 360: 353: 347: 212: 202: 194: 176: 175:They return 170: 139: 120: 107: 103: 99: 95: 76:approximates 75: 73: 70:Introduction 56:optimization 19: 18: 4881:SIAM Review 4258:(3): 1–18. 3771:: 404–413. 3565:(1): 1–22. 3465:: 163–175. 3203:SIAM Review 2683:linear maps 2216:game theory 2204:probability 851:tuning and 223:Integration 190:" elsewhere 152:rules, and 48:integration 40:computation 4960:Categories 4894:1503.03467 4715:: 529–540. 4575:2212.12474 4452:2103.06204 4445:: 113961. 4335:1610.05261 4265:2004.00623 4214:1810.03440 4132:1801.01340 4035:2205.15449 4003:2107.00243 3966:(Thesis). 3912:2004.14455 3879:2012.12615 3818:1810.03398 3778:1705.07774 3703:1703.09580 3682:1612.05086 3611:2019-12-12 3572:1512.00933 3546:: 489–496. 3358:2010.09691 3146:1506.01326 2999:1901.04457 2941:References 2517:, under a 2426:quadrature 1725:expended. 745:See also: 177:structured 100:estimation 32:statistics 4819:cite book 4690:204830421 4542:1936-0975 4523:1306.2365 4477:232170649 4386:1306.2365 4284:214774980 3945:216914317 3937:1064-8275 3855:Ipsen, I. 3797:Ipsen, I. 3402:1206.4602 3293:Ipsen, I. 3256:1402.2058 3106:1540-3459 3087:1406.6668 2816:− 2805:− 2772:∑ 2694:∫ 2681:are both 2598:∈ 2582:… 2561:at nodes 2521:prior on 2500:→ 2482:: 2437:∫ 2403:… 2317:∈ 2256:→ 2248:: 2156:⋆ 2131:⋯ 2128:∣ 2052:ν 1974:ν 1954:ν 1917:, where 1762:˙ 1686:− 1647:− 1611:⊺ 1595:⊺ 1565:⊺ 1503:† 1406:↦ 1294:θ 1285:∇ 1262:θ 1236:θ 1156:θ 1125:θ 1086:θ 1069:ℓ 945:θ 921:ℓ 901:∑ 881:θ 688:ν 673:∫ 610:… 548:ν 495:ν 480:∫ 446:… 391:… 137:problem. 104:inference 4766:(1970). 4729:(1963). 4727:Sard, A. 4705:Renyi, A 4592:(1912). 4550:14077995 4405:14077995 4354:14299420 4233:88517317 4149:42880142 4090:32226237 3837:53571618 3589:13932715 3323:12460125 3273:16121233 3223:14696405 3181:26346321 3016:67885786 2919:See also 2912:BackPACK 2888:Software 162:Gaussian 108:learning 84:integral 4913:5877877 4457:Bibcode 4081:7089645 3917:Bibcode 3172:4528661 3151:Bibcode 3114:7245255 2894:ProbNum 2629:is the 2229:in his 92:minimum 4942:  4911:  4807:  4745:  4688:  4548:  4540:  4475:  4403:  4352:  4282:  4231:  4147:  4088:  4078:  3943:  3935:  3835:  3587:  3477:  3321:  3271:  3221:  3179:  3169:  3112:  3104:  3048:  3014:  2967:  2906:Emukit 2872:Wald's 271:  263:  90:, the 34:, and 24:active 22:is an 4909:S2CID 4889:arXiv 4686:S2CID 4570:arXiv 4546:S2CID 4518:arXiv 4473:S2CID 4447:arXiv 4401:S2CID 4381:arXiv 4350:S2CID 4330:arXiv 4280:S2CID 4260:arXiv 4229:S2CID 4209:arXiv 4145:S2CID 4127:arXiv 4030:arXiv 3998:arXiv 3941:S2CID 3907:arXiv 3874:arXiv 3862:(PDF) 3833:S2CID 3813:arXiv 3773:arXiv 3698:arXiv 3677:arXiv 3669:(PDF) 3585:S2CID 3567:arXiv 3540:(PDF) 3397:arXiv 3353:arXiv 3319:S2CID 3269:S2CID 3251:arXiv 3219:S2CID 3199:(PDF) 3141:arXiv 3110:S2CID 3082:arXiv 3012:S2CID 2994:arXiv 2961:(PDF) 2657:is a 2044:is a 1946:is a 1715:exact 4940:ISBN 4829:link 4825:link 4805:ISBN 4743:ISBN 4538:ISSN 4491:link 4163:link 4104:link 4086:PMID 3933:ISSN 3495:link 3475:ISBN 3177:PMID 3102:ISSN 3046:ISBN 2965:ISBN 2383:for 2202:and 1628:and 1582:via 843:for 58:and 4932:doi 4899:doi 4856:doi 4780:doi 4735:doi 4676:doi 4643:doi 4528:doi 4465:doi 4443:384 4391:doi 4340:doi 4270:doi 4219:doi 4137:doi 4076:PMC 4068:doi 3968:doi 3925:doi 3823:doi 3746:doi 3577:doi 3518:doi 3467:doi 3309:doi 3261:doi 3211:doi 3167:PMC 3159:doi 3137:471 3092:doi 3004:doi 1546:or 267:and 118:). 106:or 4962:: 4938:. 4907:. 4897:. 4885:59 4883:. 4879:. 4850:. 4846:. 4821:}} 4817:{{ 4776:41 4774:. 4770:. 4741:. 4711:. 4684:. 4672:66 4670:. 4666:. 4637:. 4633:. 4621:^ 4611:. 4558:^ 4544:. 4536:. 4526:. 4514:11 4512:. 4508:. 4487:}} 4483:{{ 4471:. 4463:. 4455:. 4441:. 4422:. 4399:. 4389:. 4377:11 4375:. 4371:. 4348:. 4338:. 4326:29 4324:. 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4578:. 4572:: 4552:. 4530:: 4520:: 4493:) 4479:. 4467:: 4459:: 4449:: 4407:. 4393:: 4383:: 4356:. 4342:: 4332:: 4286:. 4272:: 4262:: 4235:. 4221:: 4211:: 4165:) 4151:. 4139:: 4129:: 4106:) 4092:. 4070:: 4038:. 4032:: 4006:. 4000:: 3974:. 3970:: 3947:. 3927:: 3919:: 3909:: 3882:. 3876:: 3839:. 3825:: 3815:: 3781:. 3775:: 3752:. 3748:: 3725:. 3706:. 3700:: 3685:. 3679:: 3591:. 3579:: 3569:: 3524:. 3520:: 3497:) 3483:. 3469:: 3405:. 3399:: 3361:. 3355:: 3325:. 3311:: 3275:. 3263:: 3253:: 3225:. 3213:: 3183:. 3161:: 3153:: 3143:: 3116:. 3094:: 3084:: 3054:. 3018:. 3006:: 2996:: 2973:. 2829:3 2825:) 2819:1 2813:i 2809:t 2800:i 2796:t 2792:( 2787:n 2782:2 2779:= 2776:i 2763:1 2736:u 2715:t 2711:d 2706:) 2703:t 2700:( 2697:u 2669:u 2645:u 2613:] 2610:b 2607:, 2604:a 2601:[ 2593:n 2589:t 2585:, 2579:, 2574:1 2570:t 2549:u 2529:u 2504:R 2497:] 2494:b 2491:, 2488:a 2485:[ 2479:u 2458:t 2454:d 2449:) 2446:t 2443:( 2440:u 2409:n 2406:, 2400:, 2397:1 2394:= 2391:i 2369:i 2365:B 2361:= 2358:) 2353:i 2349:a 2345:( 2342:f 2321:N 2314:n 2294:) 2291:x 2288:( 2285:f 2260:R 2252:R 2245:f 2152:u 2125:u 2104:u 2032:) 2029:t 2026:( 2023:v 2003:) 2000:t 1997:( 1994:y 1934:) 1931:t 1928:( 1925:x 1905:) 1902:t 1899:( 1896:v 1892:d 1887:B 1884:+ 1881:t 1877:d 1872:) 1869:t 1866:( 1863:x 1860:A 1857:= 1854:) 1851:t 1848:( 1845:x 1841:d 1804:) 1801:) 1798:t 1795:( 1792:y 1789:, 1786:t 1783:( 1780:f 1777:= 1774:) 1771:t 1768:( 1759:y 1694:b 1689:1 1682:A 1678:= 1675:x 1655:y 1650:1 1643:A 1639:= 1636:v 1616:v 1607:x 1603:= 1600:z 1591:b 1570:v 1561:A 1557:= 1554:z 1534:v 1531:A 1528:= 1525:y 1499:A 1495:= 1492:H 1472:x 1452:v 1432:A 1412:v 1409:A 1403:v 1371:| 1367:A 1363:| 1339:b 1336:= 1333:x 1330:A 1297:) 1291:( 1288:L 1265:) 1259:( 1256:L 1216:N 1196:x 1176:y 1136:) 1133:x 1130:( 1121:f 1100:) 1097:) 1094:x 1091:( 1082:f 1078:, 1075:y 1072:( 1046:N 1041:1 1038:= 1035:n 1031:} 1027:) 1022:n 1018:y 1014:, 1009:n 1005:x 1001:( 998:{ 995:= 990:D 966:) 963:) 958:n 954:x 950:( 941:f 937:, 932:n 928:y 924:( 916:N 911:1 908:= 905:n 895:N 892:1 887:= 884:) 878:( 875:L 798:f 771:f 725:f 700:) 697:x 694:d 691:( 685:) 682:x 679:( 676:f 652:f 632:) 627:n 623:x 619:( 616:f 613:, 607:, 604:) 599:1 595:x 591:( 588:f 568:f 528:f 507:) 504:x 501:d 498:( 492:) 489:x 486:( 483:f 457:n 453:x 449:, 443:, 438:1 434:x 413:) 408:n 404:x 400:( 397:f 394:, 388:, 385:) 380:1 376:x 372:( 369:f 332:8 329:, 326:3 323:= 320:n 300:0 297:= 294:n 274:8 260:, 257:3 254:, 251:0 248:= 245:n 209:.

Index

active
applied mathematics
statistics
machine learning
computation
numerical analysis
integration
linear algebra
optimization
simulation and differential equations
Bayesian inference
linear system of equations
integral
differential equation
minimum
probabilistic inference
Bayesian inference
prior distribution
likelihood function
posterior distribution
active learning
conjugate gradients
Nordsieck methods
Gaussian quadrature
quasi-Newton methods
least-squares estimate
Gaussian
worst-case estimate
likelihood-free
inverse problems

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