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Probabilistic Bisection with Spatial Metamodels
The resulting gains of our Spatial PBA algorithm relative to earlier G-PBA models are illustrated with synthetic examples and a challenging stochastic root finding problem from Bermudan option pricing.
Generalized Probabilistic Bisection for Stochastic Root-Finding
We consider numerical schemes for root finding of noisy responses through generalizing the Probabilistic Bisection Algorithm (PBA) to the more practical context where the sampling distribution is unknown and location-dependent.
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