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math.NA2022
Multifidelity conditional value-at-risk estimation by dimensionally decomposed generalized polynomial chaos-Kriging
Dongjin Lee, Boris Kramer
We propose novel methods for Conditional Value-at-Risk (CVaR) estimation for nonlinear systems under high-dimensional dependent random inputs. We develop a novel DD-GPCE-Kriging su…
math.NA2022
Bi-fidelity conditional value-at-risk estimation by dimensionally decomposed generalized polynomial chaos expansion
Dongjin Lee, Boris Kramer
Digital twin models allow us to continuously assess the possible risk of damage and failure of a complex system. Yet high-fidelity digital twin models can be computationally expens…