3 papers
stat.ME2023
Stochastic filtering with moment representation
Zheng Zhao, Juha Sarmavuori
Stochastic filtering refers to estimating the probability distribution of the latent stochastic process conditioned on the observed measurements in time. In this paper, we introduc…
math.NA2019
On the Convergence of Numerical Integration as a Finite Matrix Approximation to Multiplication Operator
Juha Sarmavuori, Simo Särkkä
We study the convergence of a family of numerical integration methods where the numerical integral is formulated as a finite matrix approximation to a multiplication operator. For…
math.NA2017
Numerical Integration as a Finite Matrix Approximation to Multiplication Operator
Juha Sarmavuori, Simo Särkkä
In this article, numerical integration is formulated as evaluation of a matrix function of a matrix that is obtained as a projection of the multiplication operator on a finite-dime…