Variance reduction in Monte Carlo methods and optimization problems in \({\mathbb{R}}^ n\) (Q1081271): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
(5 intermediate revisions by 4 users not shown) | |||
Property / author | |||
Property / author: Pietro Marzulli / rank | |||
Property / author | |||
Property / author: Pietro Marzulli / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A regression method for the Monte Carlo evaluation of multidimensional integrals / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5514935 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A method for numerical integration on an automatic computer / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4158394 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3875198 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Numerical Evaluation of Multiple Integrals / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/bf02576461 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2060069584 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 10:51, 30 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Variance reduction in Monte Carlo methods and optimization problems in \({\mathbb{R}}^ n\) |
scientific article |
Statements
Variance reduction in Monte Carlo methods and optimization problems in \({\mathbb{R}}^ n\) (English)
0 references
1983
0 references
In the framework of Monte Carlo methods a technique for reducing the variance is considered. Generalizing a procedure suggested by the second author, Probabilistic estimation of error in Richardson extrapolation. ibid. 20, 455-465 (Italian) (1983), we give a method which reduces the variance by solving an unconstrained optimization problem. Concerned with the approximate integration, some numerical tests are considered. The described technique is shown to allow more accurate results than some known ones.
0 references
variance reduction
0 references
Monte Carlo methods
0 references
unconstrained optimization problem
0 references