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Laplace's Method
In mathematics, Laplace's method, named after Pierre-Simon Laplace, is a technique used to approximate integrals of the form :\int_a^b e^ \, dx, where f(x) is a twice- differentiable function, ''M'' is a large number, and the endpoints ''a'' and ''b'' could possibly be infinite. This technique was originally presented in . In Bayesian statistics, Laplace's approximation can refer to either approximating the posterior normalizing constant with Laplace's method or approximating the posterior distribution with a Gaussian centered at the maximum a posteriori estimate. Laplace approximations play a central role in the integrated nested Laplace approximations method for fast approximate Bayesian inference. The idea of Laplace's method Suppose the function f(x) has a unique global maximum at ''x''0. Let M>0 be a constant and consider the following two functions: :\begin g(x) &= Mf(x) \\ h(x) &= e^ \end Note that ''x''0 will be the global maximum of g and h as well. Now obse ...
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Mathematics
Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics with the major subdisciplines of number theory, algebra, geometry, and analysis, respectively. There is no general consensus among mathematicians about a common definition for their academic discipline. Most mathematical activity involves the discovery of properties of abstract objects and the use of pure reason to prove them. These objects consist of either abstractions from nature orin modern mathematicsentities that are stipulated to have certain properties, called axioms. A ''proof'' consists of a succession of applications of deductive rules to already established results. These results include previously proved theorems, axioms, andin case of abstraction from naturesome basic properties that are considered true starting poin ...
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Gaussian Integral
The Gaussian integral, also known as the Euler–Poisson integral, is the integral of the Gaussian function f(x) = e^ over the entire real line. Named after the German mathematician Carl Friedrich Gauss, the integral is \int_^\infty e^\,dx = \sqrt. Abraham de Moivre originally discovered this type of integral in 1733, while Gauss published the precise integral in 1809. The integral has a wide range of applications. For example, with a slight change of variables it is used to compute the normalizing constant of the normal distribution. The same integral with finite limits is closely related to both the error function and the cumulative distribution function of the normal distribution. In physics this type of integral appears frequently, for example, in quantum mechanics, to find the probability density of the ground state of the harmonic oscillator. This integral is also used in the path integral formulation, to find the propagator of the harmonic oscillator, and in statistica ...
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Volume Element
In mathematics, a volume element provides a means for integrating a function with respect to volume in various coordinate systems such as spherical coordinates and cylindrical coordinates. Thus a volume element is an expression of the form :dV = \rho(u_1,u_2,u_3)\,du_1\,du_2\,du_3 where the u_i are the coordinates, so that the volume of any set B can be computed by :\operatorname(B) = \int_B \rho(u_1,u_2,u_3)\,du_1\,du_2\,du_3. For example, in spherical coordinates dV = u_1^2\sin u_2\,du_1\,du_2\,du_3, and so \rho = u_1^2\sin u_2. The notion of a volume element is not limited to three dimensions: in two dimensions it is often known as the area element, and in this setting it is useful for doing surface integrals. Under changes of coordinates, the volume element changes by the absolute value of the Jacobian determinant of the coordinate transformation (by the change of variables formula). This fact allows volume elements to be defined as a kind of measure on a manifold. On a ...
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Infinitesimal
In mathematics, an infinitesimal number is a quantity that is closer to zero than any standard real number, but that is not zero. The word ''infinitesimal'' comes from a 17th-century Modern Latin coinage ''infinitesimus'', which originally referred to the "infinity- th" item in a sequence. Infinitesimals do not exist in the standard real number system, but they do exist in other number systems, such as the surreal number system and the hyperreal number system, which can be thought of as the real numbers augmented with both infinitesimal and infinite quantities; the augmentations are the reciprocals of one another. Infinitesimal numbers were introduced in the development of calculus, in which the derivative was first conceived as a ratio of two infinitesimal quantities. This definition was not rigorously formalized. As calculus developed further, infinitesimals were replaced by limits, which can be calculated using the standard real numbers. Infinitesimals regained popu ...
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Positive-definite Matrix
In mathematics, a symmetric matrix M with real entries is positive-definite if the real number z^\textsfMz is positive for every nonzero real column vector z, where z^\textsf is the transpose of More generally, a Hermitian matrix (that is, a complex matrix equal to its conjugate transpose) is positive-definite if the real number z^* Mz is positive for every nonzero complex column vector z, where z^* denotes the conjugate transpose of z. Positive semi-definite matrices are defined similarly, except that the scalars z^\textsfMz and z^* Mz are required to be positive ''or zero'' (that is, nonnegative). Negative-definite and negative semi-definite matrices are defined analogously. A matrix that is not positive semi-definite and not negative semi-definite is sometimes called indefinite. A matrix is thus positive-definite if and only if it is the matrix of a positive-definite quadratic form or Hermitian form. In other words, a matrix is positive-definite if and only if it d ...
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Matrix Determinant
In mathematics, the determinant is a scalar value that is a function of the entries of a square matrix. It characterizes some properties of the matrix and the linear map represented by the matrix. In particular, the determinant is nonzero if and only if the matrix is invertible and the linear map represented by the matrix is an isomorphism. The determinant of a product of matrices is the product of their determinants (the preceding property is a corollary of this one). The determinant of a matrix is denoted , , or . The determinant of a matrix is :\begin a & b\\c & d \end=ad-bc, and the determinant of a matrix is : \begin a & b & c \\ d & e & f \\ g & h & i \end= aei + bfg + cdh - ceg - bdi - afh. The determinant of a matrix can be defined in several equivalent ways. Leibniz formula expresses the determinant as a sum of signed products of matrix entries such that each summand is the product of different entries, and the number of these summands is n!, the factorial of (t ...
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Hessian Matrix
In mathematics, the Hessian matrix or Hessian is a square matrix of second-order partial derivatives of a scalar-valued function, or scalar field. It describes the local curvature of a function of many variables. The Hessian matrix was developed in the 19th century by the German mathematician Ludwig Otto Hesse and later named after him. Hesse originally used the term "functional determinants". Definitions and properties Suppose f : \R^n \to \R is a function taking as input a vector \mathbf \in \R^n and outputting a scalar f(\mathbf) \in \R. If all second-order partial derivatives of f exist, then the Hessian matrix \mathbf of f is a square n \times n matrix, usually defined and arranged as follows: \mathbf H_f= \begin \dfrac & \dfrac & \cdots & \dfrac \\ .2ex \dfrac & \dfrac & \cdots & \dfrac \\ .2ex \vdots & \vdots & \ddots & \vdots \\ .2ex \dfrac & \dfrac & \cdots & \dfrac \end, or, by stating an equation for the coefficients using indices i and j, (\mathbf H_f)_ = \fra ...
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For Laplace Method --- Upper Limit Function M(x)
For or FOR may refer to: English language *For, a preposition *For, a complementizer *For, a grammatical conjunction Science and technology * Fornax, a constellation * for loop, a programming language statement * Frame of reference, in physics * Field of regard, in optoelectronics * Forced outage rate, in reliability engineering Other uses * Fellowship of Reconciliation, a number of religious nonviolent organizations * Pinto Martins International Airport (IATA airport code), an airport in Brazil * Revolutionary Workers Ferment (''Fomento Obrero Revolucionario''), a small left communist international * Fast oil recovery, systems to remove an oil spill from a wrecked ship * Field of Research, a component of the Australian and New Zealand Standard Research Classification *FOR, free on rail, an historic form of international commercial term or Incoterm See also * Four (other) 4 is a number, numeral, and digit. 4 or four may also refer to: Months and years * AD 4, t ...
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Tangent
In geometry, the tangent line (or simply tangent) to a plane curve at a given point is the straight line that "just touches" the curve at that point. Leibniz defined it as the line through a pair of infinitely close points on the curve. More precisely, a straight line is said to be a tangent of a curve at a point if the line passes through the point on the curve and has slope , where ''f'' is the derivative of ''f''. A similar definition applies to space curves and curves in ''n''-dimensional Euclidean space. As it passes through the point where the tangent line and the curve meet, called the point of tangency, the tangent line is "going in the same direction" as the curve, and is thus the best straight-line approximation to the curve at that point. The tangent line to a point on a differentiable curve can also be thought of as a ''tangent line approximation'', the graph of the affine function that best approximates the original function at the given point. Similarly ...
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For Laplace Method --- With Different M
For or FOR may refer to: English language *For, a preposition *For, a complementizer *For, a grammatical conjunction Science and technology * Fornax, a constellation * for loop, a programming language statement * Frame of reference, in physics * Field of regard, in optoelectronics * Forced outage rate, in reliability engineering Other uses * Fellowship of Reconciliation, a number of religious nonviolent organizations * Pinto Martins International Airport (IATA airport code), an airport in Brazil * Revolutionary Workers Ferment (''Fomento Obrero Revolucionario''), a small left communist international * Fast oil recovery, systems to remove an oil spill from a wrecked ship * Field of Research, a component of the Australian and New Zealand Standard Research Classification *FOR, free on rail, an historic form of international commercial term or Incoterm See also * Four (other) 4 is a number, numeral, and digit. 4 or four may also refer to: Months and years ...
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Gaussian Function
In mathematics, a Gaussian function, often simply referred to as a Gaussian, is a function of the base form f(x) = \exp (-x^2) and with parametric extension f(x) = a \exp\left( -\frac \right) for arbitrary real constants , and non-zero . It is named after the mathematician Carl Friedrich Gauss. The graph of a Gaussian is a characteristic symmetric " bell curve" shape. The parameter is the height of the curve's peak, is the position of the center of the peak, and (the standard deviation, sometimes called the Gaussian RMS width) controls the width of the "bell". Gaussian functions are often used to represent the probability density function of a normally distributed random variable with expected value and variance . In this case, the Gaussian is of the form g(x) = \frac \exp\left( -\frac \frac \right). Gaussian functions are widely used in statistics to describe the normal distributions, in signal processing to define Gaussian filters, in image processing where two-di ...
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Taylor Expansion
In mathematics, the Taylor series or Taylor expansion of a function is an infinite sum of terms that are expressed in terms of the function's derivatives at a single point. For most common functions, the function and the sum of its Taylor series are equal near this point. Taylor series are named after Brook Taylor, who introduced them in 1715. A Taylor series is also called a Maclaurin series, when 0 is the point where the derivatives are considered, after Colin Maclaurin, who made extensive use of this special case of Taylor series in the mid-18th century. The partial sum formed by the first terms of a Taylor series is a polynomial of degree that is called the th Taylor polynomial of the function. Taylor polynomials are approximations of a function, which become generally better as increases. Taylor's theorem gives quantitative estimates on the error introduced by the use of such approximations. If the Taylor series of a function is convergent, its sum is the limit of ...
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