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Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method

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SPEEDING UP KRYLOV SUBSPACE METHODS FOR COMPUTING f(A)b VIA RANDOMIZATION

Daniel Kressner, Alice Cortinovis

This work is concerned with the computation of the action of a matrix function f(A), such as the matrix exponential or the matrix square root, on a vector b. For a general matrix A, this can be done by computing the compression of A onto a suitable Krylov ...
Siam Publications2024