SigmaOpt talk: A finite element method for density estimation with Gaussian process priors

Host Institution:

University of Newcastle

Title of Seminar:

SigmaOpt talk: A finite element method for density estimation with Gaussian process priors

Speaker's Name:

Professor Markus Hegland

Speaker's Institution:

Australian National University

Time and Date:

Monday 21st November, 2011, 2:30 PM (AEDT)

Seminar Abstract:

Probability densities are a major tool in exploratory statistics and stochastic modelling. I will talk about a numerical technique for the estimation of a probability distribution from scattered data using exponential families and a maximum a-posteriori approach with Gaussian process priors.

Using Cameron-Martin theory, it can be seen that density estimation leads to a nonlinear variational problem with a functional defined on a reproducing kernel Hilbert space. This functional is strictly convex. A dual problem based on Fenchel duality will also be given. The (original) problem is solved using a Newton-Galerkin method with damping for global convergence. In this talk I will discuss some theoretical results relating to the numerical solution of the variational problem and the results of some computational experiments. A major challenge is of course the curse of dimensionality which appears when high-dimensional probability distributions are estimated.

Seminar Convenor:

This email address is being protected from spambots. You need JavaScript enabled to view it.

AGR IT support: