Generalized probabilistic bisection for stochastic root finding

DOI10.1145/3355607zbMATH Open1544.65079MaRDI QIDQ6600075

Michael Ludkovski, Sergio Rodriguez

Publication date: 8 September 2024

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

zbMATH Keywords

sequential designstochastic root-findingquantile sampling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Bayesian inference (62F15) Stochastic approximation (62L20) Numerical computation of roots of polynomial equations (65H04)

Cites Work

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• Quantifying Uncertainties on Excursion Sets Under a Gaussian Random Field Prior
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• Sequential Design for Optimal Stopping Problems
• The stochastic root-finding problem
• Probabilistic Bisection Converges Almost as Quickly as Stochastic Approximation
• Twenty Questions with Noise: Bayes Optimal Policies for Entropy Loss

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