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Table 5 Evaluation time

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

Algorithm

Model

Eva. time single \(\rho _{s}\)

Total Eva. time (\(T_{\mathrm{eva}}\))

Total time \(T_{Q} + T_{\mathrm{eva}}\)

 

FM, M = 600

0.2193 s

2193.72 s

2193.72 s

Classical greedy sampling

RM, d = 5

0.0102 s

102.56 s

197.60 s

Classical greedy sampling

RM, d = 10

0.0125 s

125.48 s

220.52 s

Adaptive greedy sampling

RM, d = 6

0.0104 s

104.38 s

287.59 s

Adaptive greedy sampling

RM, d = 10

0.0124 s

124.32 s

307.53 s