Estimating the Probability that a Function Observed with Noise Is Convex

DOI10.1287/IJOC.2018.0847OpenAlexW2979848134WikidataQ131617028 ScholiaQ131617028MaRDI QIDQ3386772FDOQ3386772

Authors: Nanjing Jian, Shane G. Henderson 

Publication date: 7 January 2021

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.04185

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zbMATH Keywords

variance reductionlikelihood ratioconditional Monte Carloconvexity detectionBayesian sequential models

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX)

Cites Work

• Dependence modeling with copulas
• Title not available (Why is that?)
• Introductory lectures on convex optimization. A basic course.
• Constrained Statistical Inference
• Title not available (Why is that?)
• Testing convex hypotheses on the mean of a Gaussian vector. Application to testing qualitative hypotheses on a regression function
• On nonparametric tests of positivity/monotonicity/convexity
• Graph implementations for nonsmooth convex programs
• Simulation-based confidence bounds for two-stage stochastic programs
• Call center staffing with simulation and cutting plane methods
• Consistency of multidimensional convex regression
• Constrained penalized splines
• Inequality Restrictions in Regression Analysis
• Nonparametric least squares estimation of a multivariate convex regression function
• Multivariate convex regression with adaptive partitioning
• The Asymptotic Efficiency of Simulation Estimators
• Testing the monotonicity or convexity of a function using regression splines
• Stability results for stochastic programming problems
• The effects of common random numbers on stochastic kriging metamodels
• A nonparametric test of the non-convexity of regression

Cited In (7)

• Posterior-Based Stopping Rules for Bayesian Ranking-and-Selection Procedures
• Estimation of convex supports from noisy measurements
• On the optimal design of the randomized unbiased Monte Carlo estimators
• convexity
• On the Estimation of a Convex Set From Noisy Data on Its Support Function
• A method for convex black-box integer global optimization
• Plausible Screening Using Functional Properties for Simulations with Large Solution Spaces

Uses Software

• Gurobi
• CVX
• BayesDA
• linprog
• GitHub
• CopulaModel

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