output
20042026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2015Show all

9 papers · 1 filter

stat.ME2015★ 8 cited

Stochastic simulators based optimization by Gaussian process metamodels -- Application to maintenance investments planning issues

Thomas Browne, Bertrand Iooss, Loïc Le Gratiet +2

This paper deals with the optimization of industrial asset management strategies, whose profitability is characterized by the Net Present Value (NPV) indicator which is assessed by…

q-fin.CP2015★ 13 cited

A Hedged Monte Carlo Approach to Real Option Pricing

Edgardo Brigatti, Felipe Macias, Max O. Souza +1

In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from…

stat.CO2015★ 15 cited

Gradient Scan Gibbs Sampler: an efficient algorithm for high-dimensional Gaussian distributions

Olivier Féron, François Orieux, Jean-François Giovannelli

This paper deals with Gibbs samplers that include high dimensional conditional Gaussian distributions. It proposes an efficient algorithm that avoids the high dimensional Gaussian…

stat.ME2015

An adaptive kriging method for solving nonlinear inverse statistical problems

Shuai Fu, Mathieu Couplet, Nicolas Bousquet

In various industrial contexts, estimating the distribution of unobserved random vectors Xi from some noisy indirect observations H(Xi) + Ui is required. If the relation between Xi…

math.ST2015

Conditional quantile sequential estimation for stochastic codes

Tatiana Labopin-Richard, Fabrice Gamboa, Aurélien Garivier +1

We propose and analyze an algorithm for the sequential estimation of a conditional quantile in the context of real stochastic codes with vectorvalued inputs. Our algorithm is based…

stat.AP2015★ 8 cited

Clustering electricity consumers using high-dimensional regression mixture models

Emilie Devijver, Yannig Goude, Jean-Michel Poggi

Massive informations about individual (household, small and medium enterprise) consumption are now provided with new metering technologies and the smart grid. Two major exploitatio…

stat.CO2015

The Informational Approach to Global Optimization in presence of very noisy evaluation results. Application to the optimization of renewable energy integration strategies

Héloïse Dutrieux, Ivana Aleksovska, Julien Bect +3

We consider the problem of global optimization of a function f from very noisy evaluations. We adopt a Bayesian sequential approach: evaluation points are chosen so as to reduce th…

stat.ML2015★ 9 cited

A Chaining Algorithm for Online Nonparametric Regression

Pierre Gaillard, Sébastien Gerchinovitz

We consider the problem of online nonparametric regression with arbitrary deterministic sequences. Using ideas from the chaining technique, we design an algorithm that achieves a D…

stat.CO2015★ 129 cited

Open TURNS: An industrial software for uncertainty quantification in simulation

Michaël Baudin, Anne Dutfoy, Bertrand Iooss +1

The needs to assess robust performances for complex systems and to answer tighter regulatory processes (security, safety, environmental control, and health impacts, etc.) have led…