An Efficient Direct Search Method for Simulation Optimization With Conditional-Expectation- Based Objectives
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DOI: 10.1109/tase.2021.3135798
Abstract: In order to generalize the applicability of Conditional Value at Risk, one of the most widely used measurements used in financial risk management, we develop a solution methodology for the conditional expectation (CE)-based simulation optimization… read more here.
Keywords: simulation; expectation based; conditional expectation; expectation ... See more keywords