Estimating the Probability that a Function Observed with Noise Is Convex

DOI10.1287/IJOC.2018.0847MaRDI QIDQ3386772zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

variance reductionlikelihood ratioconditional Monte Carloconvexity detectionBayesian sequential models

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX)

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Cites work

• scientific article; zbMATH DE number 192986 (Why is no real title available?)
• scientific article; zbMATH DE number 3357742 (Why is no real title available?)
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• Graph implementations for nonsmooth convex programs
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• Introductory lectures on convex optimization. A basic course.
• Multivariate convex regression with adaptive partitioning
• Nonparametric least squares estimation of a multivariate convex regression function
• On nonparametric tests of positivity/monotonicity/convexity
• Simulation-based confidence bounds for two-stage stochastic programs
• Stability results for stochastic programming problems
• Testing convex hypotheses on the mean of a Gaussian vector. Application to testing qualitative hypotheses on a regression function
• Testing the monotonicity or convexity of a function using regression splines
• The Asymptotic Efficiency of Simulation Estimators
• The effects of common random numbers on stochastic kriging metamodels

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

Describes a project that uses

Uses Software

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

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