Variance Reduction for Generalized Likelihood Ratio Method in Quantile Sensitivity Estimation-Reference-Cited by-同舟云学术

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Variance Reduction for Generalized Likelihood Ratio Method in Quantile Sensitivity Estimation

Published:2021-12-12 Issue: Volume: Page:
ISSN:
Container-title:2021 Winter Simulation Conference (WSC)
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Author:

Peng Yijie¹,Fu Michael C.²,Hu Jiaqiao³,L'Ecuyer Pierre⁴,Tuffin Bruno⁵

Affiliation:

1. Guanghua School of Management, Peking Universtiy,Beijing,CHINA,100871

2. The Robert H. Smith School of Business, Universtity of Maryland,Maryland,USA,20742

3. Stony Brook University,Dept. of Applied Mathematics & Statistics,Stony Brook,NY,USA,11794-3600

4. University of Montreal,Dept. of Computer Science & Operations Research,Montreal,Quebec,CANADA

5. Univ Rennes, CNRS, IRISA,INRIA,Rennes Cedex,FRANCE,35042

Funder

National Natural Science Foundation of China

Air Force Office of Scientific Research

NSERC-Canada

Publisher

IEEE

Link

http://xplorestaging.ieee.org/ielx7/9715283/9715284/09715488.pdf?arnumber=9715488

Reference23 articles.

1. Quasi-Monte Carlo methods with applications in finance

2. Randomized Quasi-Monte Carlo: An Introduction for Practitioners

3. Variance Reduction via Lattice Rules

4. On Figures of Merit for Randomly-Shifted Lattice Rules

5. Algorithm 958

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Quantile Sensitivity Estimation Through Delta Family Method;2022 Winter Simulation Conference (WSC);2022-12-11

2. Combined Derivative Estimators;Advances in Modeling and Simulation;2022

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