Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method (Q6087955)
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scientific article; zbMATH DE number 7766243
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method |
scientific article; zbMATH DE number 7766243 |
Statements
Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method (English)
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16 November 2023
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multilevel Monte Carlo methods
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VaR
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CVaR
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uncertainty quantification
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optimisation under uncertainty
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gradient descent
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