Computing f-Divergences and Distances of High-Dimensional Probability Density Functions -- Low-Rank Tensor Approximations

Hermann G. Matthies, Alessio Spantini, Youssef M. Marzouk, Alexander Litvinenko, Marco Scavino

Publication date: 13 November 2021

Multivariate distribution of statistics (62H10) Infinitely divisible distributions; stable distributions (60E07) Computational methods for problems pertaining to statistics (62-08) Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for problems pertaining to probability theory (60-08) Characteristic functions; other transforms (60E10) Multidimensional problems (41A63) Approximations to statistical distributions (nonasymptotic) (62E17) Interpolation in approximation theory (41A05) Measures of information, entropy (94A17) Approximation by arbitrary linear expressions (41A45) Numerical computation of matrix exponential and similar matrix functions (65F60) Numerical methods for low-rank matrix approximation; matrix compression (65F55)

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