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stat.ML2025
SOCRATES: Simulation Optimization with Correlated Replicas and Adaptive Trajectory Evaluations
Haoting Zhang, Haoxian Chen, Donglin Zhan +5
The field of simulation optimization (SO) encompasses various methods developed to optimize complex, expensive-to-sample stochastic systems. Established methods include, but are no…
stat.ML2025
Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate
Fengpei Li, Haoxian Chen, Jiahe Lin +7
For many complex simulation tasks spanning areas such as healthcare, engineering, and finance, Monte Carlo (MC) methods are invaluable due to their unbiased estimates and precise e…
stat.ML2025
Pseudo-Bayesian Optimization
Haoxian Chen, Henry Lam
Bayesian Optimization is a popular approach for optimizing expensive black-box functions. Its key idea is to use a surrogate model to approximate the objective and, importantly, qu…