Adaptive Reduced-Order Model Construction for Conditional Value-at-Risk Estimation

DOI10.1137/19M1257433zbMath1443.62152OpenAlexW3022239042MaRDI QIDQ3296925

Matthias Heinkenschloss, Timur Takhtaganov, Boris Kramer

Publication date: 2 July 2020

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1257433

zbMATH Keywords

samplingestimationrisk measuresuncertainty quantificationconditional value-at-riskreduced-order models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) PDEs with randomness, stochastic partial differential equations (35R60) Complexity and performance of numerical algorithms (65Y20) Error analysis and interval analysis (65G99)

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Uses Software

• redbKIT

Cites Work

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