The Excursion set approach: Stratonovich approximation and Cholesky decomposition
نویسندگان
چکیده
منابع مشابه
Differentiation of the Cholesky decomposition
We review strategies for differentiating matrix-based computations, and derive symbolic and algorithmic update rules for differentiating expressions containing the Cholesky decomposition. We recommend new ‘blocked’ algorithms, based on differentiating the Cholesky algorithm DPOTRF in the LAPACK library, which uses ‘Level 3’ matrix-matrix operations from BLAS, and so is cache-friendly and easy t...
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Usage of the Sherman-Morrison-Woodbury formula to update linear systems after low rank modifications of the system matrix is widespread in machine learning. However, it is well known that this formula can lead to serious instabilities in the presence of roundoff error. If the system matrix is symmetric positive definite, it is almost always possible to use a representation based on the Cholesky...
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ژورنال
عنوان ژورنال: Monthly Notices of the Royal Astronomical Society
سال: 2018
ISSN: 0035-8711,1365-2966
DOI: 10.1093/mnras/sty1415