Distribution of the product of two random variables

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Related publications (28)

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Related publications (28)

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Chebyshev Inequalities for Products of Random Variables

Daniel Kuhn, Wolfram Wiesemann, Napat Rujeerapaiboon

We derive sharp probability bounds on the tails of a product of symmetric non-negative random variables using only information about their first two moments. If the covariance matrix of the random variables is known exactly, these bounds can be computed nu ...

2018

A Posteriori Error Estimation for the Stochastic Collocation Finite Element Method

Fabio Nobile, Diane Sylvie Guignard

In this work, we consider an elliptic partial differential equation (PDE) with a random coefficient solved with the stochastic collocation finite element method (SC-FEM). The random diffusion coefficient is assumed to depend in an affine way on independent ...

2018

Wasserstein Distributionally Robust Kalman Filtering

Daniel Kuhn, Viet Anh Nguyen, Peyman Mohajerin Esfahani, Soroosh Shafieezadeh Abadeh

We study a distributionally robust mean square error estimation problem over a nonconvex Wasserstein ambiguity set containing only normal distributions. We show that the optimal estimator and the least favorable distribution form a Nash equilibrium. Despit ...

2018

Reconstruction using approximate message passing methods

Paul Hurley, Matthieu Martin Jean-André Simeoni

The present invention is notably directed to a computer-implemented method for image reconstruction. The method comprises: accessing elements that respectively correspond to measurement values, which can be respectively mapped to measurement nodes; and per ...

2017

A posteriori error estimation for the steady Navier-Stokes equations in random domains

Fabio Nobile, Marco Picasso, Diane Sylvie Guignard

We consider finite element error approximations of the steady incompressible Navier-Stokes equations defined on a randomly perturbed domain, the perturbation being small. Introducing a random mapping, these equations are transformed into PDEs on a fixed re ...

Elsevier2017

Dimensionality Reduction in Dynamic Optimization under Uncertainty

Napat Rujeerapaiboon

Dynamic optimization problems affected by uncertainty are ubiquitous in many application domains. Decision makers typically model the uncertainty through random variables governed by a probability distribution. If the distribution is precisely known, then ...

EPFL2016

Analytic regularity and collocation approximation for elliptic PDEs with Random domain deformations

Fabio Nobile

In this work we consider the problem of approximating the statistics of a given Quantity of Interest (QoI) that depends on the solution of a linear elliptic PDE defined over a random domain parameterized by N random variables. The elliptic problem is remap ...

2016

Intearcting Brownian Swarms: Some Analytical Results

Max-Olivier Hongler, Guillaume Adrien Sartoretti

We consider the dynamics of swarms of scalar Brownian agents subject to local imitation mechanisms implemented using mutual rank-based interactions. For appropriate values of the underlying control parameters, the swarm propagates tightly and the distances ...

MDPI AG2016