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A Stochastic Approximation Method for Simulation-Based Quantile Optimization · Study

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ArticleA Stochastic Approximation Method for Simulation-Based Quantile Optimization

Jiaqiao Hu2021

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Articlegreen2021

A Stochastic Approximation Method for Simulation-Based Quantile Optimization

Jiaqiao Hu · Yijie Peng · Gongbo Zhang · Qi Zhang

26 citations·0/0 files stored·INFORMS journal on computing

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Simulation Techniques and Applications Stochastic processes and financial applications Risk and Portfolio Optimization

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References

2003Stochastic Approximation and Recursive Algorithms and Applications 2008Stochastic Approximation 1997Stochastic approximation with two time scales 2008Estimating Quantile Sensitivities 2009Conditional Monte Carlo Estimation of Quantile Sensitivities 2005Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization 2018A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters 2009Kernel estimation of quantile sensitivities

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2020Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modelingarticle · 5 shared references 2015Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysisarticle · 3 shared references 2015A Measure-Valued Differentiation Approach to Sensitivities of Quantilesarticle · 3 shared references 2009A brief introduction to optimization via simulationother · 2 shared references 2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Riskarticle · 2 shared references 2014Stochastic Gradient Estimationchapter · 2 shared references

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Year2021

Typearticle

Published2021-01-01

VenueINFORMS journal on computing

ISSN-L0899-1499

Languageen

Citations26

Files0 public / 0

ShelfSimulation Techniques and Applications

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doi10.1287/ijoc.2022.1214

openalex_workW4286471186

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