3
votes
2answers
171 views

Gradient descent-like optimization on a convex landscape with noisy sampling

This is a rewrite of the original positing (below), and is crossposted to ...
1
vote
1answer
71 views

Numerical optimisation for multivariate Gaussians

Hi, I want to calculate $ f_{\mathbf x}(x_1,\ldots,x_k)\, = \frac{1}{(2\pi)^{k/2}|\boldsymbol\Sigma|^{1/2}} \exp\left(-\frac{1}{2}({\mathbf x}-{\boldsymbol\mu})^T{\boldsymbol\Sigma}^{-1}({\mathbf ...