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The main objective of this paper is to propose a new approach for estimating the entire collection of Sobol' indices simultaneously. Our approach exploits the fact that Sobol' indices can be rewritten as solutions to an optimization problem…
Differential ML (Huge and Savine 2020) is a technique for training neural networks to provide fast approximations to complex simulation-based models for derivatives pricing and risk management. It uses price sensitivities calculated through…
To tackle the curse of dimensionality and multicollinearity problems of polynomial chaos expansion for analyzing global sensitivity and reliability of models with high stochastic dimensions, this paper proposes a novel non-intrusive…
By their very nature, rare event probabilities are expensive to compute; they are also delicate to estimate as their value strongly depends on distributional assumptions on the model parameters. Hence, understanding the sensitivity of the…
Sensitivity analysis of a numerical model, for instance simulating physical phenomena, is useful to quantify the influence of the inputs on the model responses. This paper proposes a new sensitivity index, based upon the modification of the…
Global sensitivity analysis (GSA) aims to detect influential input factors that lead a model to arrive at a certain decision and is a significant approach for mitigating the computational burden of processing high dimensional data. In this…
This paper studies the high-dimensional mixed linear regression (MLR) where the output variable comes from one of the two linear regression models with an unknown mixing proportion and an unknown covariance structure of the random…
Multi-task learning (MTL) aims to improve the generalization performance of multiple tasks by exploiting the shared factors among them. Various metrics (e.g., F-score, Area Under the ROC Curve) are used to evaluate the performances of MTL…
In recent studies, new measures of complexity for nonlinear systems have been proposed based on probabilistic grounds, as the LMC measure (Phys. Lett. A {\bf 209} (1995) 321) or the SDL measure (Phys. Rev. E {\bf 59} (1999) 2). All these…
The composite likelihood (CL) is amongst the computational methods used for the estimation of high-dimensional multivariate normal (MVN) copula models with discrete responses. Its computational advantage, as a surrogate likelihood method,…
Statistical methods for causal inference with continuous treatments mainly focus on estimating the mean potential outcome function, commonly known as the dose-response curve. However, it is often not the dose-response curve but its…
The ELM method has become widely used for classification and regressions problems as a result of its accuracy, simplicity and ease of use. The solution of the hidden layer weights by means of a matrix pseudoinverse operation is a…
This contribution proposes a new formulation to efficiently compute directional derivatives of order one to fourth. The formulation is based on automatic differentiation implemented with dual numbers. Directional derivatives are particular…
Monte Carlo method is a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. They are often used in physical and mathematical problems and are most useful when it is difficult or…
Simulations are becoming ever more common as a tool for designing complex products. Sensitivity analysis techniques can be applied to these simulations to gain insight, or to reduce the complexity of the problem at hand. However, these…
A study is conducted to evaluate four derivative estimation methods when solving a large sparse nonlinear programming problem that arises from the approximation of an optimal control problem using a direct collocation method. In particular,…
Robust M-estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber's loss, to construct its objective function, in order to for example eschew the impact of outliers, whereas the difficulty in analysing…
Linear mixed models (LMMs) are used extensively to model dependecies of observations in linear regression and are used extensively in many application areas. Parameter estimation for LMMs can be computationally prohibitive on big data.…
Consider semiparametric estimation where a doubly robust estimating function for a low-dimensional parameter is available, depending on two working models. With high-dimensional data, we develop regularized calibrated estimation as a…
The Multilevel Monte Carlo (MLMC) method has been applied successfully in a wide range of settings since its first introduction by Giles (2008). When using only two levels, the method can be viewed as a kind of control-variate approach to…