13 citations · 26 across the 3 of their papers we have counts for
4 papers
Analysis of nested multilevel Monte Carlo using approximate Normal random variables
Mike Giles, Oliver Sheridan-Methven
The multilevel Monte Carlo (MLMC) method has been used for a wide variety of stochastic applications. In this paper we consider its use in situations in which input random variable…
Rounding error using low precision approximate random variables
Oliver Sheridan-Methven, Michael Giles
For numerical approximations to stochastic differential equations using the Euler-Maruyama scheme, we propose incorporating approximate random variables computed using low precisio…
Approximating inverse cumulative distribution functions to produce approximate random variables
Oliver Sheridan-Methven, Michael Giles
For random variables produced through the inverse transform method, approximate random variables are introduced, which are produced by approximations to a distribution's inverse cu…
Escaping local minima with derivative-free methods: a numerical investigation
Coralia Cartis, Lindon Roberts, Oliver Sheridan-Methven
We apply a state-of-the-art, local derivative-free solver, Py-BOBYQA, to global optimization problems, and propose an algorithmic improvement that is beneficial in this context. Ou…