Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo.
L. Jeff HongZhaolin HuLiwei ZhangPublished in: INFORMS J. Comput. (2014)
Keyphrases
- monte carlo
- markovian decision
- importance sampling
- markov chain
- monte carlo simulation
- adaptive sampling
- decision making
- variance reduction
- monte carlo method
- matrix inversion
- point processes
- particle filter
- monte carlo tree search
- monte carlo methods
- policy evaluation
- game tree
- temporal difference
- optimal strategy
- simulation study
- state space
- conditional density estimation
- active learning