Search Results for author: Sumedh Gupte

Found 1 papers, 0 papers with code

Optimization of utility-based shortfall risk: A non-asymptotic viewpoint

no code implementations28 Oct 2023 Sumedh Gupte, Prashanth L. A., Sanjay P. Bhat

In the context of UBSR estimation, we derive a non-asymptotic bound on the mean-squared error of the classical sample average approximation (SAA) of UBSR.

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