Adaptive sequential procedures for quantile selection with importance sampling-Reference-Cited by-同舟云学术

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Adaptive sequential procedures for quantile selection with importance sampling

Published:2024-04-08 Issue: Volume: Page:1-13
ISSN:2472-5854
Container-title:IISE Transactions
language:en
Short-container-title:IISE Transactions

Author:

Tsai Shing Chih¹^ORCID,Jiang Guangxin²,Luo Jun³

Affiliation:

1. Department of Industrial and Information Management, National Cheng Kung University, Taiwan

2. School of Management, Harbin Institute of Technology, Harbin, China

3. Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China

Funder

Taiwan Ministry of Science and Technology

the second author was supported in part by the National Natural Science Foundation of China

the Fundamental Research Funds for the Central Universities

the third author was supported in part by the National Natural Science Foundation of China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/24725854.2024.2320906

Reference40 articles.

1. Stochastic Simulation: Algorithms and Analysis

2. Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments

3. A Note on Quantiles in Large Samples

4. Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling

5. Stochastic dominance based comparison for system selection

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