Efficient estimation of a risk measure requiring two-stage simulation optimization
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Publication:2103034
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Cites work
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- Dynamic sampling allocation and design selection
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- Kernel smoothing for nested estimation with application to portfolio risk measurement
- Measuring and maximizing resilience of freight transportation networks
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- Pseudorandom Number Assignment in Statistically Designed Simulation and Distribution Sampling Experiments
- Ranking and Selection with Covariates for Personalized Decision Making
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- Risk estimation via regression
- Selecting a selection procedure
- Sequential selection with unknown correlation structures
- Simulation budget allocation for further enhancing the efficiency of ordinal optimization
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- Simulation optimization: a review and exploration in the new era of cloud computing and big data
- Speeding Up Paulson’s Procedure for Large-Scale Problems Using Parallel Computing
- Top-\(\kappa\) selection with pairwise comparisons
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