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University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Multilevel Nested Simulation for Efficient Risk Estimation

## Multilevel Nested Simulation for Efficient Risk EstimationAdd to your list(s) Download to your calendar using vCal - Abdul Lateef Haji Ali (University of Oxford)
- Tuesday 06 March 2018, 14:45-15:30
- Seminar Room 1, Newton Institute.
If you have a question about this talk, please contact INI IT. UNQW03 - Reducing dimensions and cost for UQ in complex systems We investigate the problem of computing a nested expectation of the form P[E[X|Y] >= 0] = E[H(E[X|Y])] where H is the Heaviside function. This nested expectation appears, for example, when estimating the probability of a large loss from a financial portfolio. We present a method that combines the idea of using Multilevel Monte Carlo (MLMC) for nested expectations with the idea of adaptively selecting the number of samples in the approximation of the inner expectation, as proposed by (Broadie et al., 2011). We propose and analyse an algorithm that adaptively selects the number of inner samples on each MLMC level and prove that the resulting MLMC method with adaptive sampling has an order e This talk is part of the Isaac Newton Institute Seminar Series series. ## This talk is included in these lists:- All CMS events
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