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stat.ML2021
Solving high-dimensional parabolic PDEs using the tensor train format
Lorenz Richter, Leon Sallandt, Nikolas Nüsken
High-dimensional partial differential equations (PDEs) are ubiquitous in economics, science and engineering. However, their numerical treatment poses formidable challenges since tr…
stat.ML2020★ 2 cited
VarGrad: A Low-Variance Gradient Estimator for Variational Inference
Lorenz Richter, Ayman Boustati, Nikolas Nüsken +2
We analyse the properties of an unbiased gradient estimator of the ELBO for variational inference, based on the score function method with leave-one-out control variates. We show t…