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Simulation of stochastic systems via polynomial chaos expansions and convex optimization
Lorenzo Fagiano
Mustafa Khammash
Published in:
CoRR (2012)
Keyphrases
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convex optimization
stochastic systems
chaotic systems
stochastic models
total variation
primal dual
low rank
convex optimization problems
confidence intervals
sample path
learning algorithm
multiscale
control method
initial conditions