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Volumn , Issue , 2008, Pages 453-462

On the approximation error in high dimensional model representation

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION ERRORS; DIMENSIONAL FUNCTIONS; HIGH DIMENSIONAL MODEL REPRESENTATIONS; MULTIVARIATE FUNCTIONS; SENSITIVITY INDICES;

EID: 60749103359     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2008.4736100     Document Type: Conference Paper
Times cited : (23)

References (10)
  • 1
    • 0003008716 scopus 로고    scopus 로고
    • Valuation of mortgage backed securities using Brownian bridges to reduce effective dimension
    • Caflisch, R. E., W. Morokoff, A. Owen, 1997, Valuation of mortgage backed securities using Brownian bridges to reduce effective dimension. J. Comput. Finance, 1, 27-46,
    • (1997) J. Comput. Finance , vol.1 , pp. 27-46
    • Caflisch, R.E.1    Morokoff, W.2    Owen, A.3
  • 2
    • 1242296556 scopus 로고    scopus 로고
    • Dick J., 1, H. Sloan, X. Wang and H. Woźakowski, 2004. Liberating the weights. J. Complexity, 20, 593-623.
    • Dick J., 1, H. Sloan, X. Wang and H. Woźakowski, 2004. Liberating the weights. J. Complexity, 20, 593-623.
  • 4
    • 0034926426 scopus 로고    scopus 로고
    • Sobol', 1. M. 2001. Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates. Math. Comput. Simulation, 55, 271-280.
    • Sobol', 1. M. 2001. Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates. Math. Comput. Simulation, 55, 271-280.
  • 5
    • 0037301809 scopus 로고    scopus 로고
    • Sobol', 1. M. 2003. Theorems and examples on high dimensional model representation. Reliability Engineering and System Safety. 79, 187-193.
    • Sobol', 1. M. 2003. Theorems and examples on high dimensional model representation. Reliability Engineering and System Safety. 79, 187-193.
  • 6
    • 33846262304 scopus 로고    scopus 로고
    • Sobol', 1. M., S. S. Kucherenko. 2005. On global sensitivity analysis of quasi-Monte Carlo algorithms. Monte Carlo Methods Appl, 11, 83-92.
    • Sobol', 1. M., S. S. Kucherenko. 2005. On global sensitivity analysis of quasi-Monte Carlo algorithms. Monte Carlo Methods Appl, 11, 83-92.
  • 7
    • 33847024936 scopus 로고    scopus 로고
    • On the effects of dimension reduction techniques on some high-dimensional problems in finance
    • Wang, X. 2006. On the effects of dimension reduction techniques on some high-dimensional problems in finance. Open Res., 54, 1063-1078.
    • (2006) Open Res , vol.54 , pp. 1063-1078
    • Wang, X.1
  • 9
    • 0037389675 scopus 로고    scopus 로고
    • The effective dimension and quasi-Monte Carlo integration
    • Wang, X., K.-T. Fang. 2003. The effective dimension and quasi-Monte Carlo integration. J. Complexity, 19, 101-124.
    • (2003) J. Complexity , vol.19 , pp. 101-124
    • Wang, X.1    Fang, K.-T.2
  • 10
    • 85140869558 scopus 로고    scopus 로고
    • Wang, X., 1. H. Sloan. 2005. Why are high-dimensional finance problems often of low effective dimension?. SIAM J. Sci. Comput., 27, 159-183.
    • Wang, X., 1. H. Sloan. 2005. Why are high-dimensional finance problems often of low effective dimension?. SIAM J. Sci. Comput., 27, 159-183.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.