hyunjimoon / hyunjimoon/robust_optimization
quantile inference
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Description
Learn L (number of intervals) and each quantile point of unknown distribution function F.
## [code](https://colab.research.google.com/drive/1BwXO_MlslMqY4wBHrXppAb42BBP37r8H?usp=sharing)
## ref
[Quantile estimation with adaptive importance sampling](https://arxiv.org/pdf/1002.4946.pdf)
[Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse](http://content.ebscohost.com/ContentServer.asp?T=P&P=AN&K=111155396&S=R&D=bth&EbscoContent=dGJyMNHr7ESeqLc4zOX0OLCmsEiep7RSr6q4SraWxWXS&ContentCustomer=dGJyMPGssEqvrrJPuePfgeyx44Dt6fIA)
[Importance Sampling for Monte Carlo Estimation of Quantiles](https://web.stanford.edu/~glynn/papers/1996/G96.pdf)
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