173 citations · 1.2k across the 31 of their papers we have counts for
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math.NA2016
Efficient spectral sparse grid approximations for solving multi-dimensional forward backward SDEs
Yu Fu, Weidong Zhao, Tao Zhou
This is the second part in a series of papers on multi-step schemes for solving coupled forward backward stochastic differential equations (FBSDEs). We extend the basic idea in our…
math.NA2016★ 68 cited
A generalized sampling and preconditioning scheme for sparse approximation of polynomial chaos expansions
John D. Jakeman, Akil Narayan, Tao Zhou
In this paper we propose an algorithm for recovering sparse orthogonal polynomials using stochastic collocation. Our approach is motivated by the desire to use generalized polynomi…
math.NA2016★ 1 cited
Stochastic collocation methods via minimization using randomized quadratures
Ling Guo, Akil Narayan, Tao Zhou +1
In this work, we discuss the problem of approximating a multivariate function via minimization method, using a random chosen sub-grid of the corresponding tensor grid of G…