Calibrated Adaptive Probabilistic ODE Solvers

Nathanael Bosch
Nathanael Bosch
Filip Tronarp
Filip Tronarp

AISTATS, pp. 3466-3474, 2021.

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Abstract:

Probabilistic solvers for ordinary differential equations (ODEs) assign a posterior measure to the solution of an initial value problem. The joint covariance of this distribution provides an estimate of the (global) approximation error. The contraction rate of this error estimate as a function of the solver's step size identifies it as ...More

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