Bart P. G. Van Parys

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math.OC2026

Robust Mean Estimation for Optimization: The Impact of Heavy Tails

Bart P. G. van Parys, Bert Zwart

We consider the problem of constructing a least conservative estimator of the expected value $I^¼$ of a non-negative heavy-tailed random variable. We require that the probability of…

math.OC2026

Stochastic Optimization with Optimal Importance Sampling

Liviu Aolaritei, Bart P. G. Van Parys, Henry Lam +1

Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applic…