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)

zbMATH Keywords

central limit theoremimportance samplingMonte Carlo simulationstochastic optimizationadaptive algorithmsquantile estimationstochastic root finding

Mathematics Subject Classification ID

Statistics (62-XX)

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