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Fourier-cosine Tensor Trains for Density Recovery and Expectation Calculation

Schaap, Auke et al.
arXiv (All) · Papers
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15a69numerical-analysis
The Fourier-cosine (COS) method of Fang and Oosterlee (2008) recovers densities and computes expectations semi-analytically from characteristic functions (ch.f.s). In higher dimensions, both expansion synthesis and COS coefficient-tensor construction scale exponentially with dimension. We address th
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