11 citations · 40 across the 18 of their papers we have counts for
6 papers · 1 filter
Multilevel Bayesian Quadrature
Kaiyu Li, Daniel Giles, Toni Karvonen +2
Multilevel Monte Carlo is a key tool for approximating integrals involving expensive scientific models. The idea is to use approximations of the integrand to construct an estimator…
Taylor Moment Expansion for Continuous-Discrete Gaussian Filtering and Smoothing
Zheng Zhao, Toni Karvonen, Roland Hostettler +1
The paper is concerned with non-linear Gaussian filtering and smoothing in continuous-discrete state-space models, where the dynamic model is formulated as an Itô stochastic differ…
Symmetry Exploits for Bayesian Cubature Methods
Toni Karvonen, Simo Särkkä, Chris. J. Oates
Bayesian cubature provides a flexible framework for numerical integration, in which a priori knowledge on the integrand can be encoded and exploited. This additional flexibility, c…
On stability of a class of filters for non-linear stochastic systems
Toni Karvonen, Silvère Bonnabel, Eric Moulines +1
This article develops a comprehensive framework for stability analysis of a broad class of commonly used continuous and discrete time-filters for stochastic dynamic systems with no…
A Bayes-Sard Cubature Method
Toni Karvonen, Chris J. Oates, Simo Särkkä
This paper focusses on the formulation of numerical integration as an inferential task. To date, research effort has largely focussed on the development of Bayesian cubature, whose…
Student-t Process Quadratures for Filtering of Non-Linear Systems with Heavy-Tailed Noise
Jakub Prüher, Filip Tronarp, Toni Karvonen +2
The aim of this article is to design a moment transformation for Student- t distributed random variables, which is able to account for the error in the numerically computed mean. W…