Listar por autor "Grzelak, L. A."
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The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
Grzelak, L. A.; Witteveen, J. A. S.; Suárez Taboada, María; Oosterlee, Cornelis W. (Taylor and Francis Group & Routledge, 2019)[Abstract]: In this article, we propose an efficient approach for inverting computationally expensive cumulative distribution functions. A collocation method, called the Stochastic Collocation Monte Carlo sampler (SCMC ...