On variance reduction of mean-CVaR Monte Carlo estimators (Q2355198)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On variance reduction of mean-CVaR Monte Carlo estimators |
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On variance reduction of mean-CVaR Monte Carlo estimators (English)
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21 July 2015
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importance sampling
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risk-averse optimization
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Monte Carlo sampling
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stochastic dual dynamic programming
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