Probabilistic Interpretation of Linear Solvers

10 Feb 2014  ·  Philipp Hennig ·

This manuscript proposes a probabilistic framework for algorithms that iteratively solve unconstrained linear problems $Bx = b$ with positive definite $B$ for $x$. The goal is to replace the point estimates returned by existing methods with a Gaussian posterior belief over the elements of the inverse of $B$, which can be used to estimate errors... Recent probabilistic interpretations of the secant family of quasi-Newton optimization algorithms are extended. Combined with properties of the conjugate gradient algorithm, this leads to uncertainty-calibrated methods with very limited cost overhead over conjugate gradients, a self-contained novel interpretation of the quasi-Newton and conjugate gradient algorithms, and a foundation for new nonlinear optimization methods. read more

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