Research interests

Sparse grids and sparse grid combination technique

Machine learning with sparse grids (classification, regression, semi-supervised learning)

Reinforcement learning in a continuous state space

Sums of separable functions for high-dimensional function representation

Numerical treatment of the Chemical Master Equation

Numerical mathematics for machine learning

Highdimensional partial differential equations

Non-linear dimensionality reduction

Density estimation

H-Matrices for large scale kernel machines

Eigenvalue problems (Schrödinger equation)

Using GPUs in machine learning

Diffusion approximation of queueing networks (Fokker-Planck-equation)

Research Projects

Reinforcement learning in a continuous state space, inside the DFG SPP 1324

Numerical treatment of the chemical master equation using sums of separable functions, inside Matheon

Sparse Grid Tutorial

Sparse Grid Tutorial Version dated 16th August 2007
If you are interested in some basic sparse grids code in python, as shown in the tutorial, e-mail me.

H-Matrices for Gaussian Processes

If you are interested in code accessing the HLib for the approximation of the kernel matrix arising in Gaussian Processes or Kriging feel free to get in contact with me.