Optimizing Adaptive Importance Sampling by Stochastic Approximation (Q4584930): Difference between revisions

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+Adaptative Monte Carlo Method, A Variance Reduction Technique
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+Stochastic approximation with two time scales
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+Rate of Convergence for Constrained Stochastic Approximation Algorithms
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+Q4720608
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+General results on the convergence of stochastic algorithms
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+Variance Reduction for Asian Options under a General Model Framework*
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+Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation
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+Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation
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+Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
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+Acceleration on Adaptive Importance Sampling with Sample Average Approximation
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+Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
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+Unconstrained recursive importance sampling
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+https://doi.org/10.1137/18m1173472
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