Computing the variance of a conditional expectation via non-nested Monte Carlo

DOI10.1016/J.ORL.2016.12.002MaRDI QIDQ1727950zbMATH OpenOpenAlexFDO

Authors Takashi Goda

Publication date 21 February 2019

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.05454

zbMATH Keywords

bias correctionMonte Carlo estimationvariance of a conditional expectation

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: Computing the variance of a conditional expectation has often been of importance in uncertainty quantification. Sun et al. has introduced an unbiased nested Monte Carlo estimator, which they call $1frac12$-level simulation since the optimal inner-level sample size is bounded as the computational budget increases. In this letter we construct unbiased non-nested Monte Carlo estimators based on the so-called pick-freeze scheme due to Sobol'. An extension of our approach to compute higher order moments of a conditional expectation is also discussed.

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Cites work

• scientific article; zbMATH DE number 1425054 (Why is no real title available?)
• Asymptotic normality and efficiency of two Sobol index estimators
• Efficient nested simulation for estimating the variance of a conditional expectation
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• Higher order Sobol' indices
• Making best use of model evaluations to compute sensitivity indices
• Variance components and generalized Sobol' indices

Cited in

(13)

• Test Comparison for Sobol Indices over Nested Sets of Variables
• ANVILS-VOCE: ANova-based Varying Inner-Loop Size estimation of Variance of Conditional Expectation
• Artificial neural networks to solve dynamic programming problems: a bias-corrected Monte Carlo operator
• Numerical approximation of conditional asymptotic variances using Monte Carlo simulation
• scientific article; zbMATH DE number 7626802 (Why is no real title available?)
• How many inner simulations to compute conditional expectations with least-square Monte Carlo?
• Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces
• Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
• Global sensitivity analysis and Wasserstein spaces
• Efficient nested simulation for estimating the variance of a conditional expectation
• Non-nested estimators for the central moments of a conditional expectation and their convergence properties
• Point process-based Monte Carlo estimation
• Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization

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