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stat.ME2022
Smooth Nested Simulation: Bridging Cubic and Square Root Convergence Rates in High Dimensions
Wenjia Wang, Yanyuan Wang, Xiaowei Zhang
Nested simulation concerns estimating functionals of a conditional expectation via simulation. In this paper, we propose a new method based on kernel ridge regression to exploit th…
stat.ME2020
Sample and Computationally Efficient Stochastic Kriging in High Dimensions
Liang Ding, Xiaowei Zhang
Stochastic kriging has been widely employed for simulation metamodeling to predict the response surface of complex simulation models. However, its use is limited to cases where the…