Section: New Results

Application of greedy algorithms

Participants : Sébastien Boyaval, Eric Cancès, Virginie Ehrlacher, Tony Lelièvre.

The manuscript [25] where E. Cancès, V. Ehrlacher and T. Lelièvre study the convergence of greedy algorithms to nonlinear convex problems has been accepted for publication. Current research now aims at extending such techniques to non-symmetric problems.

S. Boyaval has continued his study of a new variance reduction method introduced with T. Lelièvre. It makes an innovative use of a greedy algorithm in order to construct control variates for a parameterized family of Monte-Carlo estimator. New successful applications are typical problems in uncertainty quantification.