Estimating the Probability that a Function Observed with Noise Is Convex

DOI10.1287/ijoc.2018.0847OpenAlexW2979848134MaRDI QIDQ3386772

Shane G. Henderson, Nanjing Jian

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

likelihood ratiovariance reductionconditional Monte Carloconvexity detectionBayesian sequential models

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX)

Related Items (5)

Plausible Screening Using Functional Properties for Simulations with Large Solution Spaces ⋮ Posterior-Based Stopping Rules for Bayesian Ranking-and-Selection Procedures ⋮ A method for convex black-box integer global optimization ⋮ On the optimal design of the randomized unbiased Monte Carlo estimators ⋮ convexity

Uses Software

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

Cites Work

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• Consistency of Multidimensional Convex Regression
• Testing the monotonicity or convexity of a function using regression splines
• Graph Implementations for Nonsmooth Convex Programs
• Constrained Statistical Inference
• Dependence Modeling with Copulas
• Constrained penalized splines
• Stability results for stochastic programming problems
• The Asymptotic Efficiency of Simulation Estimators
• A nonparametric test of the non-convexity of regression
• The effects of common random numbers on stochastic kriging metamodels
• Inequality Restrictions in Regression Analysis

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