Computing worst-case expectations given marginals via simulation.

Jose H. Blanchet Fei He Henry Lam

Published in: WSC (2017)

Keyphrases

worst case
upper bound
average case
multiscale
graphical models
simulation model

simulation models
probability distribution
joint distribution
message passing
error bounds

greedy algorithm
fixed point
marginal distributions
simulation environment
simulation study

real time
mathematical model
special case
high level
genetic algorithm