Multilevel Dimension Reduction Monte-Carlo Simulation for High-dimensional Stochastic Models in Finance.
Duy-Minh DangQifan XuShangzhe WuPublished in: ICCS (2015)
Keyphrases
- dimension reduction
- monte carlo simulation
- stochastic models
- high dimensional
- low dimensional
- monte carlo
- high dimensional problems
- stochastic model
- markov chain
- stochastic processes
- high dimensionality
- high dimensional data
- dimensionality reduction
- feature space
- principal component analysis
- data points
- feature extraction
- singular value decomposition
- nearest neighbor
- gene expression data
- queueing model
- gene regulatory networks
- microarray data
- steady state
- training samples
- pattern recognition
- marginal distributions
- linear combination
- image processing