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stat.ML2023
Fast Empirical Scenarios
Michael Multerer, Paul Schneider, Rohan Sen
We seek to extract a small number of representative scenarios from large panel data that are consistent with sample moments. Among two novel algorithms, the first identifies scenar…
stat.ML2023
Samplet basis pursuit: Multiresolution scattered data approximation with sparsity constraints
Davide Baroli, Helmut Harbrecht, Michael Multerer
We consider scattered data approximation in samplet coordinates with -regularization. The application of an -regularization term enforces sparsity of the coefficien…