Holonomic Gradient Descent and its Application to Fisher-Bingham Integral

Published 28 May 2010 in cs.SC, math.OC, math.ST, and stat.TH | (1005.5273v2)

Abstract: We give a new algorithm to find local maximum and minimum of a holonomic function and apply it for the Fisher-Bingham integral on the sphere $S^n$, which is used in the directional statistics. The method utilizes the theory and algorithms of holonomic systems.

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