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2010

A Finite Element Method for Density Estimation with Gaussian Process Priors

10 years 8 months ago
A Finite Element Method for Density Estimation with Gaussian Process Priors
Abstract. A variational problem characterizing the density estimator defined by the maximum a posteriori method with Gaussian process priors is derived. It is shown that this problem is well posed and can be solved with Newton's method. Numerically, the solution is approximated by a Galerkin/finite element method with piecewise multilinear functions on uniform grids. Error bounds for this method are given and numerical experiments are performed for one-, two-, and three-dimensional examples. Key words. density estimation, finite elements, Galerkin, Newton AMS subject classifications. Primary, 65C60; Secondary, 65K10 DOI. 10.1137/080736478
Michael Griebel, Markus Hegland
Added 21 May 2011
Updated 21 May 2011
Type Journal
Year 2010
Where SIAMNUM
Authors Michael Griebel, Markus Hegland
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