Search Results - subject:"Variance Reduction"

On the optimality of linear residual risk sharing

Yang, Jiajie; Wei, Wei - In: ASTIN bulletin : the journal of the International … 55 (2025) 3, pp. 514-536

Persistent link: https://www.econbiz.de/10015550236

Variance-reduced risk inference in semi-supervised settings

Einmahl, John H. J.; Peng, Liang - 2024

Persistent link: https://www.econbiz.de/10015114538

Implementation of variance reduction techniques applied to the pricing of investment certificates

Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: Risk management magazine 18 (2023) 1, pp. 19-42

techniques known in the literature as variance reduction methods. The most popular stochastic dynamics have been analyzed, like … the paper and they are characterized by different payoffs. The variance reduction techniques, implemented in different …

Persistent link: https://www.econbiz.de/10014327175

Iterative learning control based on random variance reduction gradient method

Gao, Yihua; Shen, Dong; Qian, Jiaxi - In: Proceedings of the Second International Forum on …, (pp. 81-111). 2023

Persistent link: https://www.econbiz.de/10014321516

Achieving efficiency in black-box simulation of distribution tails with self-structuring importance samplers

Deo, Anand; Murthy, Karthyek - In: Operations research 73 (2025) 1, pp. 325-343

Persistent link: https://www.econbiz.de/10015445304

Adaptive sequential selection procedures for optimal quantile with control variates

Tsai, Shing Chih; Jiang, Guangxin - In: European journal of operational research : EJOR 326 (2025) 3, pp. 515-529

Persistent link: https://www.econbiz.de/10015433464

Variance reduction for risk measures with importance sampling in nested simulation

Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673

Persistent link: https://www.econbiz.de/10013367849

Stochastic Gauss-Seidel type inertial proximal alternating linearized minimization and its application to proximal neural networks

Wang, Qingsong; Han, Deren - In: Mathematical methods of operations research : ZOR 99 (2024) 1/2, pp. 39-74

Persistent link: https://www.econbiz.de/10015125534

Ensemble variance reduction methods for stochastic mixed-integer programming and their application to the stochastic facility location problem

Xu, Jiajun; Sen, Suvrajeet - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 2, pp. 587-599

Persistent link: https://www.econbiz.de/10014532313

Indirect inference for time series using the empirical characteristic function and control variates

Davis, Richard A.; do Rêgo Sousa, Thiago; … - In: Journal of Time Series Analysis 42 (2021) 5-6, pp. 653-684

.i.d. simulated blocks. As a classical variance reduction technique, we propose the use of control variates for reducing the variance …

Persistent link: https://www.econbiz.de/10012621813