Emulation of Stochastic Simulators Using Generalized Lambda Models

DOI10.1137/20M1337302zbMath1473.62063arXiv2007.00996MaRDI QIDQ5158924

Bruno Sudret, Xujia Zhu

Publication date: 26 October 2021

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

Full work available at URL: https://arxiv.org/abs/2007.00996

zbMATH Keywords

surrogate modelingpolynomial chaos expansionsstochastic simulatorsgeneralized lambda distributions

Mathematics Subject Classification ID

Parametric inference (62F99) Modes of computation (nondeterministic, parallel, interactive, probabilistic, etc.) (68Q10) Reasoning under uncertainty in the context of artificial intelligence (68T37) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (2)

Reweighting samples under covariate shift using a Wasserstein distance criterion ⋮ A spectral surrogate model for stochastic simulators computed from trajectory samples

Uses Software

• np
• QRM
• OPQ
• UQLab

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Practical Heteroscedastic Gaussian Process Modeling for Large Simulation Experiments
• Adaptive sparse polynomial chaos expansion based on least angle regression
• Global sensitivity analysis of stochastic computer models with joint metamodels
• Stochastic epidemic models: a survey
• The Glivenko-Cantelli problem
• Stochastic calculus for finance. II: Continuous-time models.
• Polynomial chaos expansions for dependent random variables
• Data-driven polynomial chaos expansion for machine learning regression
• On the convergence of generalized polynomial chaos expansions
• A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
• Stochastic Kriging for Simulation Metamodeling
• a study of the generalized tukey lambda family
• The Conjugate Gradient Method and Trust Regions in Large Scale Optimization
• An extended quasi-likelihood function
• Variance Function Estimation
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Calibrating a Stochastic, Agent-Based Model Using Quantile-Based Emulation
• Physical Systems with Random Uncertainties: Chaos Representations with Arbitrary Probability Measure
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• SURROGATE MODELING OF STOCHASTIC FUNCTIONS-APPLICATION TO COMPUTATIONAL ELECTROMAGNETIC DOSIMETRY
• REPLICATION-BASED EMULATION OF THE RESPONSE DISTRIBUTION OF STOCHASTIC SIMULATORS USING GENERALIZED LAMBDA DISTRIBUTIONS
• Dimension Reduction and Adaptation in Conditional Density Estimation
• Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations
• Emulators for stochastic simulation codes
• Introduction to nonparametric estimation

This page was built for publication: Emulation of Stochastic Simulators Using Generalized Lambda Models