Adaptive importance sampling for efficient stochastic root finding and quantile estimation

DOI10.1287/OPRE.2023.2484MaRDI QIDQ7035342zbMATH OpenFDO

Authors Shengyi He, Guangxin Jiang, Henry Lam, Michael C. Fu

Publication date 30 January 2025

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2023.2484

zbMATH Keywords

adaptive algorithmscentral limit theoremimportance samplingMonte Carlo simulationquantile estimationstochastic optimizationstochastic root finding

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(2)

• Black-box rare-event simulation for safety testing of AI agents: an overview
• Monte Carlo and importance sampling estimators of CoVaR

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