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Found 4 papers, 0 papers with code
Extreme Scenario Selection in Day-Ahead Power Grid Operational Planning
We propose and analyze the application of statistical functional depth metrics for the selection of extreme scenarios in day-ahead grid planning.
Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation
We consider the problem of learning the level set for which a noisy black-box function exceeds a given threshold.
Generalized Probabilistic Bisection for Stochastic Root-Finding
We consider numerical schemes for root finding of noisy responses through generalizing the Probabilistic Bisection Algorithm (PBA) to the more practical context where the sampling distribution is unknown and location-dependent.
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
In the respective nested simulation framework, the goal is to estimate portfolio tail risk, quantified via VaR or TVaR of a given collection of future economic scenarios representing factor levels at the risk horizon.
