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There is resurging interest, in statistics and machine learning, in solvers for ordinary differential equations (ODEs) that return probability measures instead of point estimates.
Beitrag zur näherungsweisen Integration totaler Differentialgleichungen
Kutta, W · 1901
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Solving Ordinary Differential Equations I – Nonstiff Problems
Hairer, E., Nørsett, S.P., and Wanner, G · 1987
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Brownian Motion and Stochastic Calculus
Karatzas, I. and Shreve, S.E · 1991
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Bayesian solutions of ordinary differential equations
Skilling, J · 1991
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Stochastic Differential Equations: An Introduction with Applications
Øksendal, B · 2003
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Gaussian Processes for Machine Learning
Rasmussen, C.E. and Williams, C.K.I · 2006
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Recursive Bayesian Inference on Stochastic Differential Equations
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Numerical Recipes 3rd Edition: The Art of Scientific Computing
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Efficient Reinforcement Learning Using Gaussian Processes
Deisenroth, M.P · 2009
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Scalable Inference for Structured Gaussian Process Models
Saatci, Y · 2011
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Bayesian solution uncertainty quantification for differential equations
Chkrebtii, Oksana A., Campbell, David A., Calderhead, Ben, and Girolami, Mark A · 2013
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Probabilistic solutions to differential equations and their application to Riemannian statistics
Hennig, P. and Hauberg, S · 2014
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Probabilistic ODE solvers with Runge–Kutta means
Schober, M., Duvenaud, D., and Hennig, P · 2014
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Probabilistic integration: A role for statisticians in numerical analysis?
Briol, F-X., Oates, C. J., Girolami, M., Osborne, M. A., and Sejdinovic, D · 2015
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Conrad, P., Girolami, M., Särkkä, S., Stuart, A., and Zygalakis, K · 2015
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Bayesian quadrature in nonlinear filtering
Prüher, J. and Šimandl, M · 2015
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Über die numerische Auflösung von Differentialgleichungen
Runge, C
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On the relation between gaussian process quadratures and sigma-point methods
Särkkä, S., Hartikainen, J., Svensson, L., and Sandblom, F · 2016
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