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05/21/2021
Bayesian Uncertainty Quantification of Local Volatility Model
Local volatility is an important quantity in option pricing, portfolio h...
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05/08/2021
Spline-Based Bayesian Emulators for Large Scale Spatial Inverse Problems
A Bayesian approach to nonlinear inverse problems is considered where th...
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01/01/2021
A Two Stage Adaptive Metropolis Algorithm
We propose a new sampling algorithm combining two quite powerful ideas i...
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06/30/2020
Preconditioning Markov Chain Monte Carlo Method for Geomechanical Subsidence using multiscale method and machine learning technique
In this paper, we consider the numerical solution of the poroelasticity ...
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02/04/2020
Stochastic Simulators: An Overview with Opportunities
In modern science, deterministic computer models are often used to under...
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11/21/2019
Computer Model Emulation with High-Dimensional Functional Output in Large-Scale Observing System Uncertainty Experiments
The observing system uncertainty experiments (OSUEs) have been widely us...
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04/01/2019
Stratified Random Sampling for Dependent Inputs
A new approach of obtaining stratified random samples from statistically...
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10/15/2018
