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Multifidelity variance reduction for pick-freeze Sobol index estimation
Multifidelity variance reduction pick-freeze Sobol index estimation
2013/4/28
Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variabilit...
Variance reduction for particle filters of systems with time-scale separation
particle filter multiscale dimensional reduction variance reduction Rao-Blackwellization stochastic differential equations jump Markov processes
2010/4/29
We present a particle filter construction for a system
that exhibits time scale separation. The separation of time
scales allows two simplifications that we exploit: i) the use
of the averaging pri...