关于举行刘光梧教授（香港城市大学）学术报告会的通知

报告题目：Adaptive Nested Simulation for Probability Distribution Function

报 告人：刘光梧教授(香港城市大学)

报告时间：2023年5月23日（星期二）下午4:30-5:30                 

报告地点：四号楼4318会议室

邀 请人：何志坚教授

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数学学院

2023年5月22日

报告摘要：We study the estimation of the probability distribution function of a conditional expectation that cannot be simulated directly but requires estimation via nested simulation. We propose an adaptive nested simulation procedure that determines the number of inner-level observations for each outer-level scenario in an adaptive manner, thus resulting in saving of simulation budget. We show that as the expected simulation budget increases, the proposed procedure leads to an efficient estimator with mean squared error decaying at a rate faster than that of the standard nested simulation procedure.

报告人简介：Dr. Guangwu Liu is currently a professor in Department of Management Sciences, College of Business at City University of Hong Kong. His research interests include stochastic simulation and machine learning, with applications in financial engineering and risk management. He has published in journals including INFORMS Journal on Computing, Management Science, Operations Research, and Production and Operations Management. He currently serves as an associate editor for Naval Research Logistics and Operations Research.