Relative entropy minimization over Hilbert spaces via Robbins-Monro
One way of getting insight into non-Gaussian measures is to first obtain good Gaussian approximations. These best fit Gaussians can then provide a sense of the mean and variance of the distribution of interest. They can also be used to accelerate sampling algorithms. This begs the question of how on...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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AIMS Press
2019-03-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/math.2019.3.359/fulltext.html |