Related papers: Combining Retrospective Approximation with Importa…

In this paper, we study a novel episodic risk-sensitive Reinforcement Learning (RL) problem, named Iterated CVaR RL, which aims to maximize the tail of the reward-to-go at each step, and focuses on tightly controlling the risk of getting…

Scenario reduction (SR) alleviates the computational complexity of scenario-based stochastic optimization with conditional value-at-risk (SBSO-CVaR) by identifying representative scenarios to depict the underlying uncertainty and tail…

Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…

Multiple importance sampling (MIS) is an increasingly used methodology where several proposal densities are used to approximate integrals, generally involving target probability density functions. The use of several proposals allows for a…

Variational inference approximates the posterior distribution of a probabilistic model with a parameterized density by maximizing a lower bound for the model evidence. Modern solutions fit a flexible approximation with stochastic gradient…

We consider the sample efficient estimation of failure probabilities from expensive oracle evaluations of a limit state function via importance sampling (IS). In contrast to conventional ``two stage'' approaches, which first train a…

We propose a method for the accurate estimation of rare event or failure probabilities for expensive-to-evaluate numerical models in high dimensions. The proposed approach combines ideas from large deviation theory and adaptive importance…

Value-at-Risk (VaR) estimation at high confidence levels is inherently a rare-event problem and is particularly sensitive to tail behavior and model misspecification. This paper studies the performance of two simulation-based VaR estimation…

In reinforcement learning (RL), experience replay-based sampling techniques play a crucial role in promoting convergence by eliminating spurious correlations. However, widely used methods such as uniform experience replay (UER) and…

The Integrated Nested Laplace Approximation (INLA) is a deterministic approach to Bayesian inference on latent Gaussian models (LGMs) and focuses on fast and accurate approximation of posterior marginals for the parameters in the models.…

The study further explores randomized QMC (RQMC), which maintains the QMC convergence rate and facilitates computational efficiency analysis. Emphasis is laid on integrating randomly shifted lattice rules, a distinct RQMC quadrature, with…

Driven by applications in telecommunication networks, we explore the simulation task of estimating rare event probabilities for tandem queues in their steady state. Existing literature has recognized that importance sampling methods can be…

This paper investigates asymptotically optimal importance sampling (IS) schemes for pricing European call options under the Heston stochastic volatility model. We focus on two distinct rare-event regimes where standard Monte Carlo methods…

Adaptive importance sampling is a widely spread Monte Carlo technique that uses a re-weighting strategy to iteratively estimate the so-called target distribution. A major drawback of adaptive importance sampling is the large variance of the…

Importance Sampling (IS), an effective variance reduction strategy in Monte Carlo (MC) simulation, is frequently utilized for Bayesian inference and other statistical challenges. Quasi-Monte Carlo (QMC) replaces the random samples in MC…

This paper focuses on a class of variational inequalities (VIs), where the map defining the VI is given by the component-wise conditional value-at-risk (CVaR) of a random function. We focus on solving the VI using sample average…

In this work we employ importance sampling (IS) techniques to track a small over-threshold probability of a running maximum associated with the solution of a stochastic differential equation (SDE) within the framework of ensemble Kalman…

In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in costs in addition to minimizing a standard criterion. Conditional value-at-risk (CVaR) is a relatively new risk measure that…

We establish an ordering criterion for the asymptotic variances of two consistent Markov chain Monte Carlo (MCMC) estimators: an importance sampling (IS) estimator, based on an approximate reversible chain and subsequent IS weighting, and a…

Cross-validation under sample selection bias can, in principle, be done by importance-weighting the empirical risk. However, the importance-weighted risk estimator produces sub-optimal hyperparameter estimates in problem settings where…