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View all- Feng BJiang G(2020)Reusing simulation outputs of repeated experiments via likelihood ratio regressionProceedings of the Winter Simulation Conference10.5555/3466184.3466220(325-336)Online publication date: 14-Dec-2020
Uniform convergence of sample average approximation with adaptive multiple importance sampling
Pages 1646 - 1657
Abstract
We study sample average approximations under adaptive importance sampling in which the sample densities may depend on previous random samples. Based on a generic uniform law of large numbers, we establish uniform convergence of the sample average approximation to the function being approximated. In the optimization context, we obtain convergence of the optimal value and optimal solutions of the sample average approximation.
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View all- Feng BJiang G(2020)Reusing simulation outputs of repeated experiments via likelihood ratio regressionProceedings of the Winter Simulation Conference10.5555/3466184.3466220(325-336)Online publication date: 14-Dec-2020
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