Error Analysis of a Model Order Reduction Framework for Financial Risk Analysis

  title={Error Analysis of a Model Order Reduction Framework for Financial Risk Analysis},
  author={Andreas Binder and Onkar Jadhav and Volker Mehrmann},
. A parametric model order reduction (MOR) approach for simulating high-dimensional models arising in financial risk analysis is proposed on the basis of the proper orthogonal decomposition (POD) approach to generate small model approximations for high-dimensional parametric convection-diffusion reaction partial differential equations (PDE). The proposed technique uses an adaptive greedy sampling approach based on surrogate modeling to efficiently locate the most relevant training parameters… 


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