114 citations · 348 across the 55 of their papers we have counts for
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stat.CO2021★ 2 cited
Unbiased Optimal Stopping via the MUSE
Zhengqing Zhou, Guanyang Wang, Jose Blanchet +1
We propose a new unbiased estimator for estimating the utility of the optimal stopping problem. The MUSE, short for Multilevel Unbiased Stopping Estimator, constructs the unbiased…
stat.CO2021★ 2 cited
Frank-Wolfe Methods in Probability Space
Carson Kent, Jose Blanchet, Peter Glynn
We introduce a new class of Frank-Wolfe algorithms for minimizing differentiable functionals over probability measures. This framework can be shown to encompass a diverse range of…