{"id":"https://openalex.org/W3022239042","doi":"https://doi.org/10.1137/19m1257433","title":"Adaptive Reduced-Order Model Construction for Conditional Value-at-Risk Estimation","display_name":"Adaptive Reduced-Order Model Construction for Conditional Value-at-Risk Estimation","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W3022239042","doi":"https://doi.org/10.1137/19m1257433","mag":"3022239042"},"language":"en","primary_location":{"id":"doi:10.1137/19m1257433","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1257433","pdf_url":null,"source":{"id":"https://openalex.org/S2911293512","display_name":"SIAM/ASA Journal on Uncertainty Quantification","issn_l":"2166-2525","issn":["2166-2525"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM/ASA Journal on Uncertainty Quantification","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5070192811","display_name":"Matthias Heinkenschloss","orcid":"https://orcid.org/0000-0002-9305-4221"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Matthias Heinkenschloss","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5081468823","display_name":"Boris Kr\u00e4mer","orcid":"https://orcid.org/0000-0002-3626-7925"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Boris Kramer","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5047176664","display_name":"Timur Takhtaganov","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Timur Takhtaganov","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.8402,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.86483324,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"8","issue":"2","first_page":"668","last_page":"692"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10876","display_name":"Fault Detection and Control Systems","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11236","display_name":"Control Systems and Identification","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.6401687264442444},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.5516287088394165},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.5238597393035889},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.45506900548934937},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3978227972984314},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3467201590538025},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24936601519584656},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.1783849000930786},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.1688195765018463},{"id":"https://openalex.org/keywords/management","display_name":"Management","score":0.07540780305862427}],"concepts":[{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.6401687264442444},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5516287088394165},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.5238597393035889},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.45506900548934937},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3978227972984314},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3467201590538025},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24936601519584656},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.1783849000930786},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.1688195765018463},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.07540780305862427},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/19m1257433","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1257433","pdf_url":null,"source":{"id":"https://openalex.org/S2911293512","display_name":"SIAM/ASA Journal on Uncertainty Quantification","issn_l":"2166-2525","issn":["2166-2525"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM/ASA Journal on Uncertainty Quantification","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G295936274","display_name":null,"funder_award_id":"CCF-1816219","funder_id":"https://openalex.org/F4320337387","funder_display_name":"Division of Computing and Communication Foundations"},{"id":"https://openalex.org/G6555255969","display_name":null,"funder_award_id":"DMS-1819144","funder_id":"https://openalex.org/F4320337380","funder_display_name":"Division of Mathematical Sciences"},{"id":"https://openalex.org/G6806377434","display_name":null,"funder_award_id":"FA9550-17-1-0195","funder_id":"https://openalex.org/F4320332467","funder_display_name":"U.S. Air Force"},{"id":"https://openalex.org/G8481718670","display_name":null,"funder_award_id":"DMS-1522798","funder_id":"https://openalex.org/F4320337380","funder_display_name":"Division of Mathematical Sciences"}],"funders":[{"id":"https://openalex.org/F4320332467","display_name":"U.S. Air Force","ror":"https://ror.org/006gmme17"},{"id":"https://openalex.org/F4320337380","display_name":"Division of Mathematical Sciences","ror":"https://ror.org/051fftw81"},{"id":"https://openalex.org/F4320337387","display_name":"Division of Computing and Communication Foundations","ror":"https://ror.org/01mng8331"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W1647779468","https://openalex.org/W1973803192","https://openalex.org/W2011203316","https://openalex.org/W2060887891","https://openalex.org/W2083545691","https://openalex.org/W2087111615","https://openalex.org/W2102753028","https://openalex.org/W2110673618","https://openalex.org/W2263557086","https://openalex.org/W2353574382","https://openalex.org/W2547139063","https://openalex.org/W2749991539","https://openalex.org/W2811395263","https://openalex.org/W2895914976","https://openalex.org/W2898353227","https://openalex.org/W2963629112","https://openalex.org/W3124407081"],"related_works":["https://openalex.org/W2576994247","https://openalex.org/W2608353378","https://openalex.org/W4249206767","https://openalex.org/W2563559453","https://openalex.org/W2382330008","https://openalex.org/W1922851888","https://openalex.org/W1519970947","https://openalex.org/W4243860260","https://openalex.org/W4383503847","https://openalex.org/W2342695897"],"abstract_inverted_index":{"This":[0],"paper":[1],"shows":[2,104],"how":[3],"to":[4,13,52,74,81,124,151],"systematically":[5],"and":[6],"efficiently":[7],"improve":[8,75],"a":[9,15,25,44,56,108,113,126,131,140,176,185],"reduced-order":[10],"model":[11,70],"(ROM)":[12],"obtain":[14],"better":[16,127],"ROM-based":[17,164],"estimate":[18],"of":[19,24,29,39,59,85,95,133],"the":[20,37,60,64,76,86,92,117,152,163,180,190],"Conditional":[21],"Value-at-Risk":[22],"(CVaR)":[23],"computationally":[26],"expensive":[27],"quantity":[28],"interest":[30],"(QoI).":[31],"Efficiency":[32],"is":[33,101,119,136],"gained":[34],"by":[35,174],"exploiting":[36],"structure":[38],"CVaR,":[40],"which":[41,103],"implies":[42],"that":[43,105,111,138,148],"ROM":[45,77,96,110,158,177],"used":[46],"for":[47,162],"CVaR":[48,128,165],"estimation":[49],"only":[50,178],"needs":[51],"be":[53,79],"accurate":[54],"in":[55,120,171,179],"small":[57,83,181],"region":[58,84,155,183],"parameter":[61,87,192],"space,":[62,88],"called":[63],"$\\epsilon$-risk":[65,146,182],"region.":[66],"Hence,":[67],"any":[68],"full-order":[69],"(FOM)":[71],"queries":[72],"needed":[73],"can":[78],"restricted":[80],"this":[82],"thereby":[89],"substantially":[90],"reducing":[91],"computational":[93],"cost":[94],"construction.":[97],"However,":[98],"an":[99],"example":[100],"presented":[102],"simply":[106],"constructing":[107],"new":[109],"has":[112],"smaller":[114],"error":[115],"with":[116,156],"FOM":[118,153],"general":[121],"not":[122],"sufficient":[123],"yield":[125],"estimate.":[129],"Instead":[130],"combination":[132],"previous":[134],"ROMs":[135],"proposed":[137],"achieves":[139],"guaranteed":[141],"improvement,":[142],"as":[143,145],"well":[144],"regions":[147],"converge":[149],"monotonically":[150],"risk":[154],"decreasing":[157],"error.":[159],"Error":[160],"estimates":[161,166],"are":[167,194],"presented.":[168],"The":[169],"gains":[170],"efficiency":[172],"obtained":[173],"improving":[175],"over":[184],"traditional":[186],"greedy":[187],"procedure":[188],"on":[189],"entire":[191],"space":[193],"illustrated":[195],"numerically.":[196]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":1}],"updated_date":"2026-08-22T07:34:49.880490","created_date":"2025-10-10T00:00:00"}
