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University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Conditional-Value-at-Risk Estimation with Reduced-Order Models
Conditional-Value-at-Risk Estimation with Reduced-Order ModelsAdd to your list(s) Download to your calendar using vCal
If you have a question about this talk, please contact INI IT. This talk has been canceled/deleted We present two reduced-order model based approaches for the efficient and accurate evaluation of the Conditional-Value-at-Risk (CVaR) of quantities of interest (QoI) in engineering systems with uncertain parameters. CVaR is used to model objective or constraint functions in risk-averse engineering design and optimization applications under uncertainty. Estimating the CVaR of the QoI is expensive. While the distribution of the uncertain system parameters is known, the resulting QoI is a random variable that is implicitly determined via the state of the system. Evaluating the CVaR of the QoI requires sampling in the tail of the QoI distribution and typically requires many solutions of an expensive full-order model of the engineering system. Our reduced-order model approaches substantially reduce this computational expense. This talk is part of the Isaac Newton Institute Seminar Series series. This talk is included in these lists:This talk is not included in any other list Note that ex-directory lists are not shown. |
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