Autor:	Syring, Nicholas, Martin, Ryan
Rok vydání:	2021
Předmět:	Statistics - Computation
Druh dokumentu:	Working Paper
Popis:	In applications of imprecise probability, analysts must compute lower (or upper) expectations, defined as the infimum of an expectation over a set of parameter values. Monte Carlo methods consistently approximate expectations at fixed parameter values, but can be costly to implement in grid search to locate minima over large subsets of the parameter space. We investigate the use of stochastic iterative root-finding methods for efficiently computing lower expectations. In two examples we illustrate the use of various stochastic approximation methods, and demonstrate their superior performance in comparison to grid search. Comment: 18 pages, 6 figures, 1 table
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2103.02659 Zobrazit plný text záznamu View this record from Arxiv