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Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall.

Zhijian HeXiaoqun Wang
Published in: Math. Comput. (2021)
Keyphrases
  • convergence analysis
  • monte carlo sampling
  • global convergence
  • optimality conditions
  • convergence rate
  • machine learning
  • learning algorithm
  • lower bound
  • low level
  • global optimum
  • multibody
  • approximation methods