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A finite element method for densityestimation with Gaussian process priors

Griebel, Michael; Hegland, Markus

Description

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.

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/19991
Source: SIAM Journal of Numerical Analysis
DOI: 10.1137/080736478

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