Random walks on trees and matchings.
Rapid mixing of Swendsen-Wang dynamics in two dimensions [Book]
Reduced basis solver for stochastic Galerkin formulation of Darcy flow with uncertain material parameters
In this contribution, we present a solution to the stochastic Galerkin (SG) matrix equations coming from the Darcy flow problem with uncertain material coefficients in the separable form. The SG system of equations is kept in the compressed tensor form and its solution is a very challenging task. Here, we present the reduced basis (RB) method as a solver which looks for a low-rank representation of the solution. The construction of the RB consists of iterative expanding of the basis using Monte Carlo sampling. We discuss the setting of the sampling procedure and an efficient solution of multiple similar systems emerging during the sampling procedure using deflation. We conclude with a demonstration of the use of SG solution for forward uncertainty quantification.
Reducing of variance by a combined scheme based on Bernstein polynomials.
Reflexiones sobre la estrategia de medida de los cambios en probabilidad en modelos de elección binarios.
Este trabajo se centra en la evaluación de la medida que, en el marco de los modelos de elección binarios o dicotómicos, se utiliza para reflejar el cambio en la probabilidad ante la variación de una de las variables explicativas. La opción de cuantificación más común ha consistido en utilizar el vector de valores medios de las variables explicativas, lo que podemos entender como poner el énfasis en el comportamiento de un "individuo medio". Frente a esta práctica habitual, efectuamos una propuesta...
Risk management using var simulation with applications to Bucharest stock exchange.