Published October 10, 2022
| Version v1
Preprint
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Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method
Description
Code, data and plotting scripts used for demonstrating the numerical performance of the techniques described in the pre-print titled "Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method".
Link to pre-print at arXiv : https://arxiv.org/abs/2210.03485
Link to pre-print at EPFL Infoscience : https://infoscience.epfl.ch/record/297289?&ln=en
Related arXiv pre-print : https://arxiv.org/abs/2208.07252
Related Zenodo code : https://zenodo.org/record/4265429
Files
DATA_FOR_OUU_ZENODO.zip
Files
(54.4 MB)
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md5:5c363ded60a73f1408e8377f4e504b02
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Additional details
Related works
- Is supplement to
- Preprint: arXiv:2210.03485 (arXiv)
- Is supplemented by
- Preprint: arXiv:2208.07252 (arXiv)