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Global sensitivity analysis for stochastic simulators based on generalized lambda surrogate models
16 references·7 citing·29 second hop
Global sensitivity analysis for stochastic simulators based on generalized lambda surrogate models (2021)Global sensitivity analysis for stochasti…On the convergence of generalized polynomial chaos expansions (2011)On the convergence of general…Adaptive sparse polynomial chaos expansion based on least angle regression (2010)Adaptive sparse polynomial ch…An adaptive algorithm to build up sparse polynomial chaos expansions for stochastic finite element analysis (2009)An adaptive algorithm to buil…Global sensitivity analysis using polynomial chaos expansions (2007)Global sensitivity analysis u…Survey of sampling-based methods for uncertainty and sensitivity analysis (2006)Survey of sampling-based meth…Stochastic finite element: a non intrusive approach by regression (2006)Stochastic finite element: a …Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…A new uncertainty importance measure (2006)A new uncertainty importance …Stochastic Calculus for Finance II (2004)Stochastic Calculus for Finan…The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations (2002)The Wiener--Askey Polynomial …Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)A Comparison of Three Methods…Importance measures in global sensitivity analysis of nonlinear models (1996)Importance measures in global…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stochastic Finite Elements: A Spectral Approach (1991)Stochastic Finite Elements: A…Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (1979)Comparison of Three Methods f…Reliability analysis for data-driven noisy models using active learning (2024)Reliability analysis for data…On fractional moment estimation from polynomial chaos expansion (2024)On fractional moment estimati…A spectral surrogate model for stochastic simulators computed from trajectory samples (2023)A spectral surrogate model fo…STOCHASTIC POLYNOMIAL CHAOS EXPANSIONS TO EMULATE STOCHASTIC SIMULATORS (2022)STOCHASTIC POLYNOMIAL CHAOS E…Efficient global sensitivity analysis for high-dimensional outputs combining data-driven probability models and dimensionality reduction (2022)Efficient global sensitivity …Emulation of Stochastic Simulators Using Generalized Lambda Models (2021)Emulation of Stochastic Simul…Non-intrusive and semi-intrusive uncertainty quantification of a multiscale in-stent restenosis model (2020)Non-intrusive and semi-intrus…Design and Analysis of Computer Experiments (1989)Response Surface Methodology (1996)How to avoid a perfunctory sensitivity analysis (2010)A Review on Global Sensitivity Analysis Methods (2015)The generalization of Latin hypercube sampling (2015)Statistics for Experimenters (1979)Handbook on Constructing Composite Indicators (2005)An effective screening design for sensitivity analysis of large models (2007)Sensitivity analysis of environmental models: A systematic review with practical workflow (2016)A Quantitative Model-Independent Method for Global Sensitivity Analysis of Model Output (1999)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)AK-MCS: An active learning reliability method combining Kriging and Monte Carlo Simulation (2011)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)High-Order Collocation Methods for Differential Equations with Random Inputs (2005)A review of techniques for parameter sensitivity analysis of environmental models (1994)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Efficient computation of global sensitivity indices using sparse polynomial chaos expansions (2010)UQLab: A Framework for Uncertainty Quantification in Matlab (2014)POLYNOMIAL-CHAOS-BASED KRIGING (2015)A distribution-free approach to inducing rank correlation among input variables (1982)Factorial Sampling Plans for Preliminary Computational Experiments (1991)Uniform Design: Theory and Application (2000)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code8,233 cited
  • 1991Stochastic Finite Elements: A Spectral Approach5,753 cited
  • 2002The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations4,821 cited
  • 1979Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code3,238 cited
  • 2007Global sensitivity analysis using polynomial chaos expansions2,547 cited
  • 1996Importance measures in global sensitivity analysis of nonlinear models2,014 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2010Adaptive sparse polynomial chaos expansion based on least angle regression1,507 cited
  • 2006Survey of sampling-based methods for uncertainty and sensitivity analysis1,240 cited
  • 2006A new uncertainty importance measure1,030 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2009An adaptive algorithm to build up sparse polynomial chaos expansions for stochastic finite element analysis834 cited
  • 2004Stochastic Calculus for Finance II748 cited

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  • 2006Stochastic finite element: a non intrusive approach by regression427 cited
  • 2011On the convergence of generalized polynomial chaos expansions414 cited
  • Cited by

    • 2022Efficient global sensitivity analysis for high-dimensional outputs combining data-driven probability models and dimensionality reduction42 cited
    • 2021Emulation of Stochastic Simulators Using Generalized Lambda Models40 cited
    • 2022STOCHASTIC POLYNOMIAL CHAOS EXPANSIONS TO EMULATE STOCHASTIC SIMULATORS40 cited
    • 2023A spectral surrogate model for stochastic simulators computed from trajectory samples33 cited
    • 2020Non-intrusive and semi-intrusive uncertainty quantification of a multiscale in-stent restenosis model18 cited
    • 2024On fractional moment estimation from polynomial chaos expansion14 cited
    • 2024Reliability analysis for data-driven noisy models using active learning12 cited