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Recent results have shown that several H_2 and H_2-related problems can be formulated as convex programs with a finite number of variables. We present an interior point algorithm for the solution of t...
Numerical Computation of Large Deviations Exponents via Simulation
Large deviations simulation regeneration eigenvalue problem,distribution arkov chains
2015/7/8
Consider the problem of numerically computing the exponential rate at which the tail of the hitting time of a Markov chain to a given set decreases to zero. One approach involves computing the solutio...
Geometric stabilization of extended S=2 vortices in two-dimensional photonic lattices: Theoretical analysis, numerical computation, and experimental results
Nonlinear discrete nearly two-dimensional photonic crystal lattice whirlpool discrete vortex model
2014/12/24
In this work, we focus on the subject of nonlinear discrete self-trapping of S=2 (doubly-charged) vortices in two-dimensional photonic lattices, including theoretical analysis, numerical computation, ...
Generalized Sobol sensitivity indices for dependent variables: numerical methods
Dependent variables Extended basis Greedy algorithm LARS Sensitivity analysis Sobol decomposition
2013/4/28
The hierarchically orthogonal functional decomposition of any measurable function f of a random vector X=(X_1,...,X_p) consists in decomposing f(X) into a sum of increasing dimension functions dependi...
Ancestral Inference from Functional Data: Statistical Methods and Numerical Examples
comparative analysis Ornstein-Uhlenbeck process non-parametric Bayesian infer-ence functional phylogenetics ancestral reoncon-struction
2012/9/17
Many biological characteristics of evolutionary inter-est are not scalar variables but continuous functions.Here we use phylogenetic Gaussian process regres-sion to model the evolution of simulated fu...
A simple and numerical stable algorithm for solving the cone projection problem based on a Gram-Schmidt process
cone projection algorithm convexity constraints convexity test simulations Gram-Schmidt
2012/9/19
We are presenting a simple and numerical stable algorithm for the solution of the cone projection problem which is suitable for relative small data sets and for simulation purposes needed for con-vexi...
A diffusion equation for the density of the ratio of Gaussian variables and the numerical inversion of Laplace transform
parabolic equations random matrices kernel estimation
2011/3/21
It is shown that the density of the ratio of two Gaussian random variables with the same variance satisfies a non stationary diffusion equation. Implications of this result for kernel density estimati...
Numerical studies of the metamodel fitting and validation processes
Gaussian process discrepancy optimal design Latin hypercubesampling computer experiment
2010/3/9
Complex computer codes, for instance simulating physical phenomena,
are often too time expensive to be directly used to perform uncertainty,
sensitivity, optimization and robustness analyses. A wide...
LASSO, Iterative Feature Selection and the Correlation Selector: Oracle inequalities and numerical performances
Regression estimation statistical learning confidence regions shrinkage and thresholding methods LASSO
2009/9/16
We propose a general family of algorithms for regression estimation with quadratic loss, on the basis of geometrical considerations. These algorithms are able to select relevant functions into a large...