Adaptive reduced-order model construction for conditional value-at-risk estimation
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Cites work
- Accurate and efficient evaluation of failure probability for partial different equations with random input data
- Algorithms and analyses for stochastic optimization for turbofan noise reduction using parallel reduced-order modeling
- An adaptive local reduced basis method for solving PDEs with uncertain inputs and evaluating risk
- An Efficient, Globally Convergent Method for Optimization Under Uncertainty Using Adaptive Model Reduction and Sparse Grids
- Certified reduced basis methods for parametrized partial differential equations
- Conditional value at risk and related linear programming models for portfolio optimization
- Conditional-value-at-risk estimation via reduced-order models
- Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
- Inexact objective function evaluations in a trust-region algorithm for PDE-constrained optimization under uncertainty
- Model reduction and approximation. Theory and algorithms
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Output bounds for reduced-order approximations of elliptic partial differential equations
- Reduced basis methods for partial differential equations. An introduction
- Risk-averse PDE-constrained optimization using the conditional value-at-risk
- Survey of multifidelity methods in uncertainty propagation, inference, and optimization
Cited in
(15)- A regularized stochastic subgradient projection method for an optimal control problem in a stochastic partial differential equation
- A variational inequality based stochastic approximation for estimating the flexural rigidity in random fourth-order models
- Conditional-value-at-risk estimation via reduced-order models
- A convex optimization framework for the inverse problem of identifying a random parameter in a stochastic partial differential equation
- An iteratively regularized stochastic gradient method for estimating a random parameter in a stochastic PDE. A variational inequality approach
- Wasserstein sensitivity of risk and uncertainty propagation
- Meta variance reduction for Monte Carlo estimation of energetic particle confinement during stellarator optimization
- Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems
- scientific article; zbMATH DE number 7733441 (Why is no real title available?)
- An approximate control variates approach to multifidelity distribution estimation
- An adaptive importance sampling algorithm for risk-averse optimization
- Adaptive reduced multilevel splitting
- Optimization problems governed by systems of PDEs with uncertainties
- Sampling low-fidelity outputs for estimation of high-fidelity density and its tails
- Risk-adaptive approaches to stochastic optimization: a survey
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