• Corpus ID: 238259950

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

@article{Binder2021ErrorAO,
  title={Error Analysis of a Model Order Reduction Framework for Financial Risk Analysis},
  author={Andreas Binder and Onkar Jadhav and Volker Mehrmann},
  journal={ArXiv},
  year={2021},
  volume={abs/2110.00774}
}
A parametric model order reduction (MOR) approach for simulating the 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 the 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… 

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