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A Stochastic Approximation Method for Simulation-Based Quantile Optimization
11 references·0 citing·37 second hop
A Stochastic Approximation Method for Simulation-Based Quantile Optimization (2021)A Stochastic Approximation Method for Sim…Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling (2020)Maximum Likelihood Estimation…A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters (2018)A New Unbiased Stochastic Der…Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis (2015)Technical Note—On Estimating …On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem (2013)On reducing a quantile optimi…Kernel estimation of quantile sensitivities (2009)Kernel estimation of quantile…Conditional Monte Carlo Estimation of Quantile Sensitivities (2009)Conditional Monte Carlo Estim…Stochastic Approximation (2008)Stochastic ApproximationEstimating Quantile Sensitivities (2008)Estimating Quantile Sensitivi…Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization (2005)Adaptive multivariate three-t…Stochastic Approximation and Recursive Algorithms and Applications (2003)Stochastic Approximation and …Stochastic approximation with two time scales (1997)Stochastic approximation with…Gradient Estimation via Perturbation Analysis (1991)Estimating Security Price Derivatives Using Simulation (1996)Simulation modeling and analysis (1999)A Measure-Valued Differentiation Approach to Sensitivities of Quantiles (2015)A Stochastic Programming Model (1963)Stochastic Programming (1995)Stochastic Programming (2010)Stochastic problem of competitive location of facilities with quantile criterion (2016)Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue (1988)Variance Reduction Techniques for Estimating Value-at-Risk (2000)Simulation Modeling and Analysis. (1983)Simulating Sensitivities of Conditional Value at Risk (2008)Introduction to Stochastic Programming (2011)Stochastic Trust-Region Response-Surface Method (STRONG)—A New Response-Surface Framework for Simulation Optimization (2012)Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems (1990)Simulation-based optimization of Markov reward processes (2001)Convergent multiple-timescales reinforcement learning algorithms in normal form games (2003)Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences (2003)On Default Correlation (2000)Monte Carlo Methods in Financial Engineering (2003)Mean–CVaR portfolio selection: A nonparametric estimation framework (2012)Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)Stochastic Gradient Estimation (2014)A Stochastic Approximation Method (1951)Stochastic Estimation of the Maximum of a Regression Function (1952)Multivariate stochastic approximation using a simultaneous perturbation gradient approximation (1992)Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization (2007)The stochastic root-finding problem (2011)Simulation optimization: a review of algorithms and applications (2015)Stochastic Simulation (2007)Proceedings of the 2002 Winter Simulation Conference (2002)Computational methods in optimization considering uncertainties – An overview (2008)Non-Stationary Stochastic Optimization (2013)A one-measurement form of simultaneous perturbation stochastic approximation (1997)High-dimensional Exploratory Item Factor Analysis by A Metropolis–Hastings Robbins–Monro Algorithm (2009)Competitive Targeted Advertising Over Networks (2016)
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References

  • 2003Stochastic Approximation and Recursive Algorithms and Applications1,896 cited
  • 2008Stochastic Approximation568 cited
  • 1997Stochastic approximation with two time scales406 cited
  • 2008Estimating Quantile Sensitivities152 cited
  • 2009Conditional Monte Carlo Estimation of Quantile Sensitivities96 cited
  • 2005Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization70 cited
  • 2018A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters68 cited
  • 2009Kernel estimation of quantile sensitivities47 cited
  • 2013On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem40 cited
  • 2015Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis33 cited
  • 2020Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling26 cited

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