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Found 4 papers, 0 papers with code
Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation
The message from extensive numerical experimentation is that in settings where a functional CLT on the point estimator is in effect, using \emph{large overlapping batches} alongside OB-x critical values yields confidence intervals that are often of significantly higher quality than those obtained from more generic methods like subsampling or the bootstrap.
A Retrospective Approximation Approach for Smooth Stochastic Optimization
Our investigation leads naturally to generalizing SG into Retrospective Approximation (RA) where, during each iteration, a "deterministic solver" executes possibly multiple steps on a subsampled deterministic problem and stops when further solving is deemed unnecessary from the standpoint of statistical efficiency.
Adaptive Sequential SAA for Solving Two-stage Stochastic Linear Programs
We present adaptive sequential SAA (sample average approximation) algorithms to solve large-scale two-stage stochastic linear programs.
Efficient Estimation in the Tails of Gaussian Copulas
The first of our proposed estimators $\estOpt$ is the "full-information" estimator that actively exploits such local structure to achieve bounded relative error in Gaussian settings.
