Zobrazeno 1 - 10
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pro vyhledávání: '"Frances, Y"'
In this paper, we apply quasi-Monte Carlo (QMC) methods with an initial preintegration step to estimate cumulative distribution functions and probability density functions in uncertainty quantification (UQ). The distribution and density functions cor
Externí odkaz:
http://arxiv.org/abs/2402.11807
We show that a very simple randomised algorithm for numerical integration can produce a near optimal rate of convergence for integrals of functions in the $d$-dimensional weighted Korobov space. This algorithm uses a lattice rule with a fixed generat
Externí odkaz:
http://arxiv.org/abs/2304.10413
The kernel interpolant in a reproducing kernel Hilbert space is optimal in the worst-case sense among all approximations of a function using the same set of function values. In this paper, we compare two search criteria to construct lattice point set
Externí odkaz:
http://arxiv.org/abs/2304.01685
We describe a fast method for solving elliptic partial differential equations (PDEs) with uncertain coefficients using kernel interpolation at a lattice point set. By representing the input random field of the system using the model proposed by Kaarn
Externí odkaz:
http://arxiv.org/abs/2303.17755
In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability density. The method involves preintegration with respect to one well c
Externí odkaz:
http://arxiv.org/abs/2212.11493
We consider uncertainty quantification for the Poisson problem subject to domain uncertainty. For the stochastic parameterization of the random domain, we use the model recently introduced by Kaarnioja, Kuo, and Sloan (SIAM J. Numer. Anal., 2020) in
Externí odkaz:
http://arxiv.org/abs/2210.17329
We approximate $d$-variate periodic functions in weighted Korobov spaces with general weight parameters using $n$ function values at lattice points. We do not limit $n$ to be a prime number, as in currently available literature, but allow any number
Externí odkaz:
http://arxiv.org/abs/2209.01002
We study the application of a tailored quasi-Monte Carlo (QMC) method to a class of optimal control problems subject to parabolic partial differential equation (PDE) constraints under uncertainty: the state in our setting is the solution of a parabol
Externí odkaz:
http://arxiv.org/abs/2208.02767
Preintegration is a technique for high-dimensional integration over $d$-dimensional Euclidean space, which is designed to reduce an integral whose integrand contains kinks or jumps to a $(d-1)$-dimensional integral of a smooth function. The resulting
Externí odkaz:
http://arxiv.org/abs/2112.11621
In this paper, we analyse a method for approximating the distribution function and density of a random variable that depends in a non-trivial way on a possibly high number of independent random variables, each with support on the whole real line. Sta
Externí odkaz:
http://arxiv.org/abs/2112.10308