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Quantile estimation with adaptive importance sampling

Quantile estimation with adaptive importance sampling

26 February 2010
Daniel Egloff
Markus Leippold
ArXiv (abs)PDFHTML

Papers citing "Quantile estimation with adaptive importance sampling"

7 / 7 papers shown
Agentic Knowledgeable Self-awareness
Agentic Knowledgeable Self-awarenessAnnual Meeting of the Association for Computational Linguistics (ACL), 2025
Shuofei Qiao
Zihan Qiu
Baochang Ren
Xiaobin Wang
Xiangyuan Ru
...
Xiang Chen
Yong Jiang
Pengjun Xie
Fei Huang
Zeyang Zhang
LLMAGAIFinLM&Ro
317
2
0
04 Apr 2025
Iterative importance sampling with Markov chain Monte Carlo sampling in
  robust Bayesian analysis
Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysisComputational Statistics & Data Analysis (CSDA), 2022
Ivette Raices Cruz
J. Lindström
Matthias C. M. Troffaes
U. Sahlin
192
17
0
17 Jun 2022
Efficient Black-Box Importance Sampling for VaR and CVaR Estimation
Efficient Black-Box Importance Sampling for VaR and CVaR Estimation
Anand Deo
Karthyek Murthy
180
10
0
16 Jun 2021
Sequential design of experiments for estimating percentiles of black-box
  functions
Sequential design of experiments for estimating percentiles of black-box functions
Tatiana Labopin-Richard
Victor Picheny
191
8
0
18 May 2016
Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk
  Measures
Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures
Daniel R. Jiang
Warrren B Powell
167
40
0
07 Sep 2015
Adaptive Importance Sampling via Stochastic Convex Programming
Adaptive Importance Sampling via Stochastic Convex Programming
Ernest K. Ryu
Stephen P. Boyd
219
29
0
16 Dec 2014
Convergence of Markovian Stochastic Approximation with discontinuous
  dynamics
Convergence of Markovian Stochastic Approximation with discontinuous dynamicsSIAM Journal of Control and Optimization (SICON), 2014
G. Fort
Eric Moulines
Amandine Schreck
M. Vihola
325
22
0
26 Mar 2014
1
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