Ingo Steinwart

Convergence Analysis of a Greedy Algorithm for Conditioning Gaussian Random Variables

Abstract In the context of Gaussian conditioning, greedy algorithms iteratively select the most informative measurements, given an observed Gaussian random variable. However, the convergence analysis for conditioning Gaussian random variables remains an open problem. We address t...

Conditioning of Banach space valued Gaussian random variables: An approximation approach based on martingales

We investigate the conditional distributions of two Banach space valued, jointly Gaussian random variables. In particular, we show that these conditional distributions are again Gaussian and that their means and covariances can be determined by a general finite-dimensional approx...