1 citations · 1 across the 2 of their papers we have counts for
4 papers
Learn-Then-Differentiate Gradient Estimation
Nifei Lin, Qingkai Zhang, L. Jeff Hong
Learn-then-differentiate (LTD) estimates gradients by fitting a model to simulation outputs and differentiating it. We develop a unified framework explaining what LTD differentiate…
Contextual Strongly Convex Simulation Optimization: Optimize then Predict with Inexact Solutions
Nifei Lin, Heng Luo, L. Jeff Hong
In this work, we study contextual strongly convex simulation optimization and adopt an "optimize then predict" (OTP) approach for real-time decision making. In the offline stage, s…
Efficient Nested Estimation of CoVaR: A Decoupled Approach
Nifei Lin, Yingda Song, L. Jeff Hong
This paper addresses the estimation of the systemic risk measure known as CoVaR, which quantifies the risk of a financial portfolio conditional on another portfolio being at risk.…
Monte-Carlo Estimation of CoVaR
Weihuan Huang, Nifei Lin, L. Jeff Hong
is one of the most important measures of financial systemic risks. It is defined as the risk of a financial portfolio conditional on another financial portfolio being…