Adaptive strategy for stratified Monte Carlo sampling

MaRDI QIDQ5744838zbMATH OpenFDO

Authors Alexandra Carpentier, Rémi Munos, András Antos

Publication date 19 February 2016

Full work available at URL http://jmlr.csail.mit.edu/papers/v16/carpentier15a.html

zbMATH Keywords

active learningadaptive samplingbandit theoryminimax strategiesstratified Monte Carlo

Mathematics Subject Classification ID

General considerations in statistical decision theory (62C05) Minimax procedures in statistical decision theory (62C20) Sampling theory, sample surveys (62D05) Optimal stopping in statistics (62L15) Monte Carlo methods (65C05)

Recommendations

• Minimax number of strata for online stratified sampling: the case of noisy samples
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Cited in

(4)

• Minimax number of strata for online stratified sampling given noisy samples
• On adaptive resampling strategies for sequential Monte Carlo methods
• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Adaptive power method: eigenvector estimation from sampled data

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