2 citations · 2 across the 1 of their papers we have counts for
3 papers
math.NA2020
Computing first passage times for Markov-modulated fluid models using numerical PDE problem solvers
Debarati Bhaumik, Marko A. A. Boon, Daan Crommelin +2
A popular method to compute first-passage probabilities in continuous-time Markov chains is by numerically inverting their Laplace transforms. Past decades, the scientific computin…
math.PR2019★ 2 cited
Rare Event Simulation for Steady-State Probabilities via Recurrency Cycles
Krzysztof Bisewski, Daan Crommelin, Michel Mandjes
We develop a new algorithm for the estimation of rare event probabilities associated with the steady-state of a Markov stochastic process with continuous state space …
math.ST2019
Efficient estimation of divergence-based sensitivity indices with Gaussian process surrogates
A. W. Eggels, D. T. Crommelin
We consider the estimation of sensitivity indices based on divergence measures such as Hellinger distance. For sensitivity analysis of complex models, these divergence-based indice…