Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method.

Sundar Ganesh Fabio Nobile

Published in: J. Comput. Phys. (2023)

Keyphrases

monte carlo method
markov chain
genetic algorithm
monte carlo
bayesian learning
posterior distribution
maximum likelihood estimation
learning machines
higher order
model selection
neural network
markov random field
generalized gaussian