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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
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Importance sampling for jump processes and applications to finance
Badouraly Kassim, Laetitia; Lelong, Jérõme; … - In: The journal of computational finance 19 (2015/2016) 2, pp. 109-139
Persistent link: https://www.econbiz.de/10011442676
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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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Estimation and asymptotics for buffered probability of exceedance
Mafusalov, Alexander; Shapiro, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 270 (2018) 3, pp. 826-836
Persistent link: https://www.econbiz.de/10011882603
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Utility-based shortfall risk : efficient computations via Monte Carlo
Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392
Persistent link: https://www.econbiz.de/10011969327
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The empirical likelihood approach to quantifying uncertainty in sample average approximation
Lam, Henry; Zhou, Enlu - In: Operations research letters 45 (2017) 4, pp. 301-307
Persistent link: https://www.econbiz.de/10011740327
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When can we improve on sample average approximation for stochastic optimization?
Anderson, Edward J.; Nguyen, Harrison - In: Operations research letters 48 (2020) 5, pp. 566-572
Persistent link: https://www.econbiz.de/10012303409
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Provably near-optimal approximation schemes for implicit stochastic and sample-based dynamic programs
Halman, Nir - In: INFORMS journal on computing : JOC 32 (2020) 4, pp. 1157-1181
Persistent link: https://www.econbiz.de/10012390216
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Sampling-based approximation schemes for capacitated stochastic inventory control models
Cheung, Wang Chi; Simchi-Levi, David - In: Mathematics of operations research 44 (2019) 2, pp. 668-692
Persistent link: https://www.econbiz.de/10012028641
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Logarithmic sample bounds for Sample Average Approximation with capacity- or budget-constraints
Bugg, Caleb; Aswani, Anil - In: Operations research letters 49 (2021) 2, pp. 231-238
Persistent link: https://www.econbiz.de/10012506656