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Table 4 Computing time/reduction time (\(T_{Q}\)) to generate projection subspace

From: Model order reduction for the simulation of parametric interest rate models in financial risk analysis

Algorithm

Cardinality ||

Max. no. iterations \(I_{\mathrm{max}}\)

Computing time

Classical greedy sampling

20

10

56.82 s

Classical greedy sampling

30

10

82.54 s

Classical greedy sampling

40

10

95.04 s

Adaptive greedy sampling

40

10

183.21 s