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Importance sampling in stochastic programming : a Markov chain Monte Carlo approach

Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377

Persistent link: https://www.econbiz.de/10011291297

Fast and accurate computation of the distribution of sums of dependent log-normals

Botev, Zdravko I.; Salomone, Robert; Mackinlay, Daniel - 2019

Persistent link: https://www.econbiz.de/10012116201

Importance sampling in stochastic optimization : an application to intertemporal portfolio choice

Ekblom, J.; Blomvall, J. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 106-119

Persistent link: https://www.econbiz.de/10012239487

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

Particle rolling mcmc with double-block sampling

Awaya, Naoki; Omori, Yasuhiro - 2021

Persistent link: https://www.econbiz.de/10013339020

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Huang, Zhenzhen; Kwok, Yue-Kuen; Xu, Ziqing - In: Insurance : mathematics and economics 115 (2024), pp. 132-150

Persistent link: https://www.econbiz.de/10015066737

A note on sample complexity of multistage stochastic programs

Reaiche, M. M. C. R. - In: Operations research letters 44 (2016) 4, pp. 430-435

Persistent link: https://www.econbiz.de/10011535313

A tabu search algorithm for the probabilistic orienteering problem

Chou, Xiaochen; Gambardella, Luca Maria; Montemanni, Roberto - In: Computers & operations research : and their … 126 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012425867

A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models

Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293

Persistent link: https://www.econbiz.de/10011398073

To bridge, to warp or to wrap? : a comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009

-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are … importance sampling or the independence chain Metropolis-Hastings algorithm for posterior analysis. A comparative analysis is … presented of possible advantages and limitations of different simulation techniques; of possible choices of candidate …

Persistent link: https://www.econbiz.de/10011377602

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