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Proper orthogonal decomposition for pricing options
The Journal of Computational Finance, 2012In a paper that appeared in volume 2 (2011) of SIAM Financial Mathematics by R. Cont, N. Lantos and the author, it was shown that by writing the solution of the Black-Scholes partial dierential equation on a small set of basis functions the computing time can be dramatically reduced. In this study we show that it is in fact a P.O.D.
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Probabilistic Proper Orthogonal Decomposition
2010Proper Orthogonal Decomposition (POD) is a method with much potential for identifying, locating and quantifying damage in structures [1-3]. POD can be interpreted as the maximum-likelihood solution to a probabilistic model called Probabilistic Principal Component Analysis (PPCA) [4].
HENSMAN J +3 more
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Proper orthogonal decomposition & kriging strategies for design. [PDF]
, 2009 The proliferation of surrogate modelling techniques have facilitated the application of expensive, high fidelity simulations within design optimisation. Taking considerably fewer function evaluations than direct global optimisation techniques, such as genetic algorithms, surrogate models attempt to construct a surrogate of an objective function from an
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New Proper Orthogonal Decomposition Approximation Theory for PDE Solution Data
SIAM Journal on Numerical Analysis, 2020John Singler
exaly
Proper orthogonal and dynamic mode decomposition of sunspot data
Philosophical Transactions Series A, Mathematical, Physical, and Engineering Sciences, 2021Jonathan Higham +2 more
exaly
Galerkin Proper Orthogonal Decomposition Methods for a General Equation in Fluid Dynamics
SIAM Journal on Numerical Analysis, 2002S Volkwein, K Kunisch
exaly