Ganesh, Sundar; Nobile, Fabio Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method. (English) Zbl 07766243 J. Comput. Phys. 495, Article ID 112523, 22 p. (2023). MSC: 65Cxx 90Cxx 91Gxx PDFBibTeX XMLCite \textit{S. Ganesh} and \textit{F. Nobile}, J. Comput. Phys. 495, Article ID 112523, 22 p. (2023; Zbl 07766243) Full Text: DOI arXiv
Ayoul-Guilmard, Quentin; Ganesh, Sundar; Krumscheid, Sebastian; Nobile, Fabio Quantifying uncertain system outputs via the multi-level Monte Carlo method – distribution and robustness measures. arXiv:2208.07252 Preprint, arXiv:2208.07252 [stat.CO] (2022). MSC: 65C05 91G60 BibTeX Cite \textit{Q. Ayoul-Guilmard} et al., ``Quantifying uncertain system outputs via the multi-level Monte Carlo method -- distribution and robustness measures'', Preprint, arXiv:2208.07252 [stat.CO] (2022) Full Text: DOI arXiv OA License
Krumscheid, S.; Nobile, F.; Pisaroni, M. Quantifying uncertain system outputs via the multilevel Monte Carlo method. I: Central moment estimation. (English) Zbl 1440.65008 J. Comput. Phys. 414, Article ID 109466, 20 p. (2020). MSC: 65C05 91G10 35R60 76M35 76H05 PDFBibTeX XMLCite \textit{S. Krumscheid} et al., J. Comput. Phys. 414, Article ID 109466, 20 p. (2020; Zbl 1440.65008) Full Text: DOI
Krumscheid, Sebastian; Nobile, Fabio Multilevel Monte Carlo approximation of functions. (English) Zbl 1490.65023 SIAM/ASA J. Uncertain. Quantif. 6, 1256-1293 (2018). MSC: 65D15 65C05 60H35 65C20 65Y20 60E10 91G70 PDFBibTeX XMLCite \textit{S. Krumscheid} and \textit{F. Nobile}, SIAM/ASA J. Uncertain. Quantif. 6, 1256--1293 (2018; Zbl 1490.65023) Full Text: DOI