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Stability and sample-based approximations of composite stochastic optimization problems
Dentcheva, Darinka; Lin, Yang; Penev, Spiridon - In: Operations research 71 (2023) 5, pp. 1871-1888
Persistent link: https://www.econbiz.de/10014393285
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Using standardized time series to estimate confidence intervals for the difference between two stationary stochastic processes
Chen, Bor-Chung; Sargent, Robert G. - In: Operations research 35 (1987) 3, pp. 428-436
Persistent link: https://www.econbiz.de/10003513007
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Technical note: the elliptical potential lemma for general distributions with an application to linear thompson sampling
Hamidi, Nima; Bayati, Mohsen - In: Operations research 71 (2023) 4, pp. 1434-1439
Persistent link: https://www.econbiz.de/10014338245
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Technical note: two-stage sample robust optimization
Bertsimas, Dimitris; Shtern, Shimrit; Sturt, Bradley - In: Operations research 70 (2022) 1, pp. 624-640
Persistent link: https://www.econbiz.de/10012820676
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A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Wang, Yongqiang; Fu, Michael; Marcus, Steven I. - In: Operations research 60 (2012) 2, pp. 447-460
Persistent link: https://www.econbiz.de/10009554759
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Simulation of tempered stable Lévy bridges and its applications
Kim, Kyoung-Kuk; Kim, Sojung - In: Operations research 64 (2016) 2, pp. 495-509
Persistent link: https://www.econbiz.de/10011485601
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Unbiased estimation with square root convergence for SDE models
Rhee, Chang-Han; Glynn, Peter W. - In: Operations research 63 (2015) 5, pp. 1026-1043
Persistent link: https://www.econbiz.de/10011397797
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Divide and conquer : recursive likelihood function integration for hidden Markov models with continuous latent variables
Reich, Gregor - In: Operations research 66 (2018) 6, pp. 1457-1470
Persistent link: https://www.econbiz.de/10011971637
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Unbiased estimators and multilevel Monte Carlo
Vihola, Matti - In: Operations research 66 (2018) 2, pp. 448-462
Persistent link: https://www.econbiz.de/10011845993
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A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
Peng, Yijie; Fu, Michael; Hu, Jian-Qiang; Heidergott, Bernd - In: Operations research 66 (2018) 2, pp. 487-499
Persistent link: https://www.econbiz.de/10011845997