457 citations · 696 across the 72 of their papers we have counts for
17 papers · 1 filter
Efficient Calibration of Multi-Agent Simulation Models from Output Series with Bayesian Optimization
Yuanlu Bai, Henry Lam, Svitlana Vyetrenko +1
Multi-agent simulation is commonly used across multiple disciplines, specifically in artificial intelligence in recent years, which creates an environment for downstream machine le…
Orthounimodal Distributionally Robust Optimization: Representation, Computation and Multivariate Extreme Event Applications
Henry Lam, Zhenyuan Liu, Xinyu Zhang
This paper studies a basic notion of distributional shape known as orthounimodality (OU) and its use in shape-constrained distributionally robust optimization (DRO). As a key motiv…
Higher-Order Coverage Errors of Batching Methods via Edgeworth Expansions on -Statistics
Shengyi He, Henry Lam
While batching methods have been widely used in simulation and statistics, it is open regarding their higher-order coverage behaviors and whether one variant is better than the oth…
Certifiable Deep Importance Sampling for Rare-Event Simulation of Black-Box Systems
Mansur Arief, Yuanlu Bai, Wenhao Ding +4
Rare-event simulation techniques, such as importance sampling (IS), constitute powerful tools to speed up challenging estimation of rare catastrophic events. These techniques often…
Over-Conservativeness of Variance-Based Efficiency Criteria and Probabilistic Efficiency in Rare-Event Simulation
Yuanlu Bai, Zhiyuan Huang, Henry Lam +1
In rare-event simulation, an importance sampling (IS) estimator is regarded as efficient if its relative error, namely the ratio between its standard deviation and mean, is suffici…
Doubly Robust Stein-Kernelized Monte Carlo Estimator: Simultaneous Bias-Variance Reduction and Supercanonical Convergence
Henry Lam, Haofeng Zhang
Standard Monte Carlo computation is widely known to exhibit a canonical square-root convergence speed in terms of sample size. Two recent techniques, one based on control variate a…