Briol, F-X;
DiazDelaO, FA;
Hristov, PO;
(2019)
Contributed Discussion [A Bayesian Conjugate Gradient Method].
Bayesian Analysis
, 14
(3)
pp. 980-984.
10.1214/19-BA1145.
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Abstract
We would like to congratulate the authors of "A Bayesian Conjugate Gradient Method" on their insightful paper, and welcome this publication which we firmly believe will become a fundamental contribution to the growing field of probabilistic numerical methods and in particular the sub-field of Bayesian numerical methods. In this short piece, which will be published as a comment alongside the main paper, we first initiate a discussion on the choice of priors for solving linear systems, then propose an extension of the Bayesian conjugate gradient (BayesCG) algorithm for solving several related linear systems simultaneously.
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