A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems.
Hillary R. FairbanksAlireza DoostanChristian KetelsenGianluca IaccarinoPublished in: J. Comput. Phys. (2017)
Keyphrases
- monte carlo simulation
- low rank
- high dimensional
- monte carlo
- matrix factorization
- convex optimization
- missing data
- markov chain
- high dimensional data
- linear combination
- low dimensional
- semi supervised
- singular value decomposition
- matrix completion
- kernel matrix
- low rank matrix
- rank minimization
- trace norm
- data sets
- small number
- state space
- feature space
- pattern recognition
- computer vision