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07/17/2023
Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation
We propose a general purpose confidence interval procedure (CIP) for sta...
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03/07/2021
Retrospective Approximation for Smooth Stochastic Optimization
We consider stochastic optimization problems where a smooth (and potenti...
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12/07/2020
Adaptive Sequential SAA for Solving Two-stage Stochastic Linear Programs
We present adaptive sequential SAA (sample average approximation) algori...
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11/17/2018
Optimal Allocations for Sample Average Approximation
We consider a single stage stochastic program without recourse with a st...
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10/29/2018
Dominating Points of Gaussian Extremes
We quantify the large deviations of Gaussian extreme value statistics on...
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07/05/2016