Batching Adaptive Variance Reduction
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- Multivariate adaptive stochastic approximation
Cites work
- A framework for adaptive Monte Carlo procedures
- Acceleration of Stochastic Approximation by Averaging
- Acceleration on adaptive importance sampling with sample average approximation
- Adaptative Monte Carlo Method, A Variance Reduction Technique
- Adaptive Control Variates for Finite-Horizon Simulation
- Adaptive importance sampling and control variates
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- Adaptive importance sampling in monte carlo integration
- Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
- Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation
- Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
- Adaptive simulation using perfect control variates
- Adaptive subgradient methods for online learning and stochastic optimization
- Applying variance reduction ideas in queuing simulations
- Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
- Batch Size Effects in the Analysis of Simulation Output
- Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
- Confidence intervals for quantiles when applying variance-reduction techniques
- scientific article; zbMATH DE number 1972910 (Why is no real title available?)
- Large-Sample Results for Batch Means
- Lectures on Stochastic Programming
- On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
- Optimal importance sampling parameter search for Lévy processes via stochastic approximation
- Optimizing adaptive importance sampling by stochastic approximation
- Stochastic approximation with two time scales
- Strong Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
- To batch or not to batch?
- Unconstrained recursive importance sampling
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