Blending based random function model

Jean-Laurent Mallet and Arben Shtuka. ( 1998 )
in: 18th gOcad Meeting, ASGA

Abstract

There are many situations where important economic decisions are based on models of the sub-surface. However, due to the lack for precise data, these models can not be considered as fully reliable and uncertainties have to be integrated into the decision making process. One of the possible approaches consists of representing these models by random functions which realisations are next used for assessing these uncertainties. In such an approach, it is of paramount importance to generate a large set of realisations of these random functions and time of computation is a crucial issue. This paper presents a new method of construction of such random functions, which realizations can be evaluated in a particularly efficient way. The basis idea is to blend in a stochastic way a limited set of independent realizations previously generated with whatever method that one may choose.

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    BibTeX Reference

    @inproceedings{MalletRM1998,
     abstract = { There are many situations where important economic decisions are based on models of the sub-surface. However, due to the lack for precise data, these models can not be considered as fully reliable and uncertainties have to be integrated into the decision making process. One of the possible approaches consists of representing these models by random functions which realisations are next used for assessing these uncertainties. In such an approach, it is of paramount importance to generate a large set of realisations of these random functions and time of computation is a crucial issue. This paper presents a new method of construction of such random functions, which realizations can be evaluated in a particularly efficient way. The basis idea is to blend in a stochastic way a limited set of independent realizations previously generated with whatever method that one may choose. },
     author = { Mallet, Jean-Laurent AND Shtuka, Arben },
     booktitle = { 18th gOcad Meeting },
     month = { "september" },
     publisher = { ASGA },
     title = { Blending based random function model },
     year = { 1998 }
    }