Sökning: "truncated multivariate Gaussian"

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  1. 1. Efficient Sampling of Gaussian Processes under Linear Inequality Constraints

    Master-uppsats, Linköpings universitet/Statistik och maskininlärning

    Författare :Bayu Beta Brahmantio; [2021]
    Nyckelord :Gaussian process; truncated multivariate Gaussian; Hamiltonian Monte Carlo; Elliptical Slice Sampling;

    Sammanfattning : In this thesis, newer Markov Chain Monte Carlo (MCMC) algorithms are implemented and compared in terms of their efficiency in the context of sampling from Gaussian processes under linear inequality constraints. Extending the framework of Gaussian process that uses Gibbs sampler, two MCMC algorithms, Exact Hamiltonian Monte Carlo (HMC) and Analytic Elliptical Slice Sampling (ESS), are used to sample values of truncated multivariate Gaussian distributions that are used for Gaussian process regression models with linear inequality constraints. LÄS MER