3 papers
q-fin.CP2021
Adaptive Multilevel Monte Carlo for Probabilities
Abdul-Lateef Haji-Ali, Jonathan Spence, Aretha Teckentrup
We consider the numerical approximation of where the -dimensional random variable cannot be sampled directly, but there is a hierarchy of increasingly a…
stat.CO2019
A Locally Adaptive Bayesian Cubature Method
Matthew A Fisher, Chris J Oates, Catherine Powell +1
Bayesian cubature (BC) is a popular inferential perspective on the cubature of expensive integrands, wherein the integrand is emulated using a stochastic process model. Several app…
math.NA2019
Convergence of Gaussian Process Regression with Estimated Hyper-parameters and Applications in Bayesian Inverse Problems
Aretha L Teckentrup
This work is concerned with the convergence of Gaussian process regression. A particular focus is on hierarchical Gaussian process regression, where hyper-parameters appearing in t…