数学是关于数量、结构、变化等主题的探索。

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这本书的目的是介绍计算机科学家所需要的一些基本数学知识。读者并不期望自己是数学家,我们希望下面的内容对你有用。

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The main focus of this article is to provide a mathematical study of the algorithm proposed in \cite{boyaval2010variance} where the authors proposed a variance reduction technique for the computation of parameter-dependent expectations using a reduced basis paradigm. We study the effect of Monte-Carlo sampling on the theoretical properties of greedy algorithms. In particular, using concentration inequalities for the empirical measure in Wasserstein distance proved in \cite{fournier2015rate}, we provide sufficient conditions on the number of samples used for the computation of empirical variances at each iteration of the greedy procedure to guarantee that the resulting method algorithm is a weak greedy algorithm with high probability. These theoretical results are not fully practical and we therefore propose a heuristic procedure to choose the number of Monte-Carlo samples at each iteration, inspired from this theoretical study, which provides satisfactory results on several numerical test cases.

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