4 papers
Reliable Real-Time Value at Risk Estimation via Quantile Regression Forest with Conformal Calibration
Du-Yi Wang, Guo Liang, Kun Zhang +1
Rapidly evolving market conditions call for real-time risk monitoring, but its online estimation remains challenging. In this paper, we study the online estimation of one of the mo…
Regular Tree Search for Simulation Optimization
Du-Yi Wang, Guo Liang, Guangwu Liu +1
Tackling simulation optimization problems with non-convex objective functions remains a fundamental challenge in operations research. In this paper, we propose a class of random se…
Enhanced Derivative-Free Optimization Using Adaptive Correlation-Induced Finite Difference Estimators
Guo Liang, Guangwu Liu, Kun Zhang
Gradient-based methods are well-suited for derivative-free optimization (DFO), where finite-difference (FD) estimates are commonly used as gradient surrogates. Traditional stochast…
A Correlation-induced Finite Difference Estimator
Guo Liang, Guangwu Liu, Kun Zhang
Finite difference (FD) approximation is a classic approach to stochastic gradient estimation when only noisy function realizations are available. In this paper, we first provide a…