2 papers
stat.ML2019
X-Armed Bandits: Optimizing Quantiles, CVaR and Other Risks
Léonard Torossian, Aurélien Garivier, Victor Picheny
We propose and analyze StoROO, an algorithm for risk optimization on stochastic black-box functions derived from StoOO. Motivated by risk-averse decision making fields like agricul…
stat.ML2019
A Review on Quantile Regression for Stochastic Computer Experiments
Léonard Torossian, Victor Picheny, Robert Faivre +1
We report on an empirical study of the main strategies for quantile regression in the context of stochastic computer experiments. To ensure adequate diversity, six metamodels are p…