Unconstrained recursive importance sampling
نویسندگان
چکیده
منابع مشابه
Unconstrained Recursive Importance Sampling
We propose an unconstrained stochastic approximation method of finding the optimal measure change (in an a priori parametric family) for Monte Carlo simulations. We consider different parametric families based on the Girsanov theorem and the Esscher transform (or exponentialtilting). In a multidimensional Gaussian framework, Arouna uses a projected Robbins-Monro procedure to select the paramete...
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We investigate in this paper an alternative method to simulation based recursive importance sampling procedure to estimate the optimal change of measure for Monte Carlo simulations. We propose an algorithm which combines (vector and functional) optimal quantization with Newton-Raphson zero search procedure. Our approach can be seen as a robust and automatic deterministic counterpart of recursiv...
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Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) are two risk measures which are widely used in the practice of risk management. This paper deals with the problem of estimating both VaR and CVaR using stochastic approximation (with decreasing steps): we propose a first Robbins-Monro (RM) procedure based on Rockafellar-Uryasev’s identity for the CVaR. Convergence rate of this algorithm t...
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Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are two risk measures which are widely used in the practice of risk management. This paper deals with the problem of computing both VaR and CVaR using stochastic approximation (with decreasing steps): we propose a first Robbins-Monro procedure based on Rockaffelar-Uryasev’s identity for the CVaR. The convergence rate of this algorithm to ...
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Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are two risk measures which are widely used in the practice of risk management. This paper deals with the problem of computing both VaR and CVaR using stochastic approximation (with decreasing steps): we propose a first Robbins-Monro procedure based on Rockaffelar-Uryasev’s identity for the CVaR. The convergence rate of this algorithm to ...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2010
ISSN: 1050-5164
DOI: 10.1214/09-aap650