Efficient Black-Box Importance Sampling for VaR and CVaR Estimation.

Anand Deo Karthyek Murthy

Published in: CoRR (2021)

Keyphrases

black box
importance sampling
monte carlo
risk measures
markov chain
black boxes
kalman filter
particle filter
white box testing
particle filtering
white box
robust optimization
test cases
integration testing
approximate inference
computer vision
dynamic programming
decision trees