Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method (Q6087955)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7766243
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method |
scientific article; zbMATH DE number 7766243 |
Statements
Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method (English)
0 references
16 November 2023
0 references
multilevel Monte Carlo methods
0 references
VaR
0 references
CVaR
0 references
uncertainty quantification
0 references
optimisation under uncertainty
0 references
gradient descent
0 references
0 references
0 references
0 references
0 references
0 references
0.7385032176971436
0 references
0.7359194755554199
0 references
0.7345084547996521
0 references
0.7288632392883301
0 references
0.7234480977058411
0 references
