A finite element method for densityestimation with Gaussian process priors
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.
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|Source:||SIAM Journal of Numerical Analysis|
|01_Griebel_A_finite_element_method_for_2010.pdf||409.67 kB||Adobe PDF||Request a copy|
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