TY - GEN
T1 - Quantile Sensitivity Estimation Through Delta Family Method
AU - Cui, Zhenyu
AU - Ding, Kailin
N1 - Publisher Copyright:
© 2022 IEEE.
PY - 2022
Y1 - 2022
N2 - In this paper, we consider the estimation of the quantile sensitivity through Monte Carlo simulations. We first propose a new representation of the quantile by writing it as an expectation involving Dirac Delta payoff functions. Then we consider two alternative approximations for the Dirac Delta function, one is the Delta sequence, and the other is through orthogonal series. Then we derive quantile sensitivity estimators by combining them with the conditional expectation representation derived in (Hong 2009). Numerical examples demonstrate the accurateness and efficiency of the proposed method, and compare with the existing literature.
AB - In this paper, we consider the estimation of the quantile sensitivity through Monte Carlo simulations. We first propose a new representation of the quantile by writing it as an expectation involving Dirac Delta payoff functions. Then we consider two alternative approximations for the Dirac Delta function, one is the Delta sequence, and the other is through orthogonal series. Then we derive quantile sensitivity estimators by combining them with the conditional expectation representation derived in (Hong 2009). Numerical examples demonstrate the accurateness and efficiency of the proposed method, and compare with the existing literature.
UR - http://www.scopus.com/inward/record.url?scp=85147436823&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85147436823&partnerID=8YFLogxK
U2 - 10.1109/WSC57314.2022.10015438
DO - 10.1109/WSC57314.2022.10015438
M3 - Conference contribution
AN - SCOPUS:85147436823
T3 - Proceedings - Winter Simulation Conference
SP - 939
EP - 950
BT - Proceedings of the 2022 Winter Simulation Conference, WSC 2022
A2 - Feng, B.
A2 - Pedrielli, G.
A2 - Peng, Y.
A2 - Shashaani, S.
A2 - Song, E.
A2 - Corlu, C.G.
A2 - Lee, L.H.
A2 - Chew, E.P.
A2 - Roeder, T.
A2 - Lendermann, P.
T2 - 2022 Winter Simulation Conference, WSC 2022
Y2 - 11 December 2022 through 14 December 2022
ER -