Kernel Ridge Regression

Smooth Nested Simulation: Bridging Cubic and Square Root Convergence Rates in High Dimensions

Nested simulation concerns estimating functionals of a conditional expectation via simulation. In this paper, we propose a new method based on kernel ridge regression to exploit …

Wenjia Wang

• Dec 10, 2024 • 1 min read

Simulation Optimization

High-Dimensional Simulation Optimization via Brownian Fields and Sparse Grids

High-dimensional simulation optimization is notoriously challenging. We propose a new sampling algorithm that converges to a global optimal solution and suffers minimally from the …

Liang Ding

• Jul 19, 2021 • 1 min read

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Kernel Ridge Regression

Smooth Nested Simulation: Bridging Cubic and Square Root Convergence Rates in High Dimensions

High-Dimensional Simulation Optimization via Brownian Fields and Sparse Grids