Markov chain Monte Carlo for risk measures.
Yuya SuzukiThorbjörn GudmundssonPublished in: SIMULTECH (2014)
Keyphrases
- markov chain monte carlo
- risk measures
- parameter estimation
- generative model
- markov chain
- posterior distribution
- monte carlo
- posterior probability
- particle filter
- bayesian inference
- approximate inference
- data association
- risk averse
- portfolio optimization
- probability distribution
- robust optimization
- bayesian framework
- latent variables
- simulated annealing
- hyperparameters
- em algorithm