Adaptive importance sampling for efficient stochastic root finding and quantile estimation
Shengyi He, Guangxin Jiang, Henry Lam, Michael C. Fu
| Year of publication: |
2024
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|---|---|
| Authors: | He, Shengyi ; Jiang, Guangxin ; Lam, Henry ; Fu, Michael |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 72.2024, 6, p. 2612-2630
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| Subject: | adaptive algorithms | central limit theorem | importance sampling | Monte Carlo simulation | quantile estimation | Simulation | stochastic optimization | stochastic root finding | Monte-Carlo-Simulation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling | Algorithmus | Algorithm |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2023.2484 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015371528