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Uncertainty quantification and exploration for reinforcement learning
Zhu, Yi; Dong, Jing; Lam, Henry - In: Operations research 72 (2024) 4, pp. 1689-1709
Persistent link: https://www.econbiz.de/10015045690
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Overconservativeness of variance-based efficiency criteria and probabilistic efficiency in rare-event simulation
Bai, Yuanlu; Huang, Zhiyuan; Lam, Henry; Zhao, Ding - In: Management science : journal of the Institute for … 70 (2024) 10, pp. 6852-6873
Persistent link: https://www.econbiz.de/10015142173
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Sample-path large deviations for unbounded additive functionals of the reflected random walk
Bazhba, Mihail; Blanchet, Jose; Rhee, Chang-Han; Zwart, Bert - In: Mathematics of operations research 50 (2025) 1, pp. 711-742
Persistent link: https://www.econbiz.de/10015211764
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Efficient rare-event simulation for multiple jump events in regularly varying random walks and compound poisson processes
Chen, Bohan; Blanchet, Jose; Rhee, Chang-Han; Zwart, Bert - In: Mathematics of operations research 44 (2019) 3, pp. 919-942
Persistent link: https://www.econbiz.de/10012105807
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Quantifying distributional model risk via optimal transport
Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600
Persistent link: https://www.econbiz.de/10012028635
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Sample out-of-sample inference based on Wasserstein distance
Blanchet, Jose; Kang, Yang - In: Operations research 69 (2021) 3, pp. 985-1013
Persistent link: https://www.econbiz.de/10012546913