56 citations · 68 across the 13 of their papers we have counts for
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stat.ME2022
Using Importance Samping in Estimating Weak Derivative
Cheng Jie, Michael C Fu
In this paper we study simulation-based methods for estimating gradients in stochastic networks. We derive a new method of calculating weak derivative estimator using importance sa…
stat.ME2021★ 2 cited
Adaptive Importance Sampling for Efficient Stochastic Root Finding and Quantile Estimation
Shengyi He, Guangxin Jiang, Henry Lam +1
In solving simulation-based stochastic root-finding or optimization problems that involve rare events, such as in extreme quantile estimation, running crude Monte Carlo can be proh…