Kernel Ridge Regression

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 the smoothness of the conditional expectation as a function of the …

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 curse of dimensionality. The algorithm consists of two stages. First, …