Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
Sign Up to like & getrecommendations! Published in 2019 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2018.11.007
Abstract: This paper deals with the estimation problem of misspecified ergodic L\'evy driven stochastic differential equation models based on high-frequency samples. We utilize the widely applicable and tractable Gaussian quasi-likelihood approach which focuses on (conditional) mean… read more here.
Keywords: stochastic differential; equation models; differential equation; equation ... See more keywords
Learning effective dynamics from data-driven stochastic systems.
Sign Up to like & getrecommendations! Published in 2023 at "Chaos"
DOI: 10.1063/5.0126667
Abstract: Multiscale stochastic dynamical systems have been widely adopted to a variety of scientific and engineering problems due to their capability of depicting complex phenomena in many real-world applications. This work is devoted to investigating the… read more here.
Keywords: stochastic systems; dynamics data; learning effective; driven stochastic ... See more keywords
Duality-Free Decomposition Based Data-Driven Stochastic Security-Constrained Unit Commitment
Sign Up to like & getrecommendations! Published in 2019 at "IEEE Transactions on Sustainable Energy"
DOI: 10.1109/tste.2018.2825361
Abstract: To incorporate the superiority of both stochastic and robust approaches, a data-driven stochastic optimization is employed to solve the security-constrained unit commitment model. This approach makes the most use of the historical data to generate… read more here.
Keywords: duality; unit commitment; unit; driven stochastic ... See more keywords