A Multilevel Simulation Optimization Approach for Quantile Functions
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Publication:5084670
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Cites work
- A Batching Approach to Quantile Estimation in Regenerative Simulations
- A note on L-estimates for linear models
- A Note on Quantiles in Large Samples
- A stochastic radial basis function method for the global optimization of expensive functions
- A taxonomy of global optimization methods based on response surfaces
- An extended two-stage sequential optimization approach: properties and performance
- Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise
- Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
- Convergence rates of efficient global optimization algorithms
- Discrete Optimization via Simulation Using COMPASS
- Efficient global optimization of expensive black-box functions
- Efficient VaR and CVaR measurement via stochastic kriging
- Expected improvement in efficient global optimization through bootstrapped Kriging
- Global optimization
- Global optimization of stochastic black-box systems via sequential kriging meta-models
- Maximum likelihood estimation of models for residual covariance in spatial regression
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Multiobjective optimization using Gaussian process emulators via stepwise uncertainty reduction
- Non-crossing quantile regression via doubly penalized kernel machine
- Noncrossing quantile regression curve estimation
- Penalized Gaussian process regression and classification for high-dimensional nonlinear data
- Perspectives on the Evolution of Simulation
- Predicting the output from a complex computer code when fast approximations are available
- Robust quantile estimation and prediction for spatial processes
- Simulating sensitivities of conditional value at risk
- Simulation budget allocation for further enhancing the efficiency of ordinal optimization
- Stochastic kriging for simulation metamodeling
- Stochastic simulation: Algorithms and analysis
Cited in
(5)- A direct search method for unconstrained quantile-based simulation optimization
- A Stochastic Approximation Method for Simulation-Based Quantile Optimization
- A Multi-Level Simulation Optimization Approach for Quantile Functions
- A model aggregation approach for high-dimensional large-scale optimization
- Bayesian variable selection in Kriging metamodeling for quality design
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