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

Anand Deo Karthyek Murthy

Published in: WSC (2021)

Keyphrases

black box
importance sampling
monte carlo
black boxes
markov chain
white box
test cases
risk measures
markov chain monte carlo
integration testing
particle filter
robust optimization
kalman filter
approximate inference
graphical models
probabilistic model
machine learning