Electronic Companion — “ Simulation of Coherent Risk Measures Based on Generalized Scenarios ” by Vadim

Appendix A. Algorithms In this appendix we specify the algorithms used in the experiments reported in §5. The algorithms are implementations of the procedures developed in §4. All algorithms are stated for the case where at most q control variates are used for any system, but this includes the case q = 0 where control variates are not used, as explained in §4.2. The algorithms are constructed for clarity rather than efficiency. They do not address computational issues such as how to update sample averages and variances, or the order in which to do the screening comparisons so as to reduce the number that actually have to be made.