27th June 2005 — Quadrature with Gaussian processes
Ed and Iain will look at the following paper:
Deriving quadrature rules from Gaussian processes, Tom Minka 2000.
In addition to the references in the above paper, the following may be useful:
- For classical quadrature you could look at section 4.5 p147 of Numerical recipes in C.
- Carl and Zoubin’s paper on "Bayesian Monte Carlo" is also relevant.