22 citations · 36 across the 15 of their papers we have counts for
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math.ST2021★ 4 cited
Nonasymptotic bounds for suboptimal importance sampling
Carsten Hartmann, Lorenz Richter
Importance sampling is a popular variance reduction method for Monte Carlo estimation, where a notorious question is how to design good proposal distributions. While in most cases…
stat.ML2021
Solving high-dimensional parabolic PDEs using the tensor train format
Lorenz Richter, Leon Sallandt, Nikolas Nüsken
High-dimensional partial differential equations (PDEs) are ubiquitous in economics, science and engineering. However, their numerical treatment poses formidable challenges since tr…