Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata

DOI10.1137/21M1430996MaRDI QIDQ6039251zbMATH OpenFDO

Authors Reiichiro Kawai

Publication date 4 May 2023

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/21M1430996

zbMATH Keywords

budget allocationcontrol variatesimportance samplingstochastic approximationstratified samplinguniform distribution

Mathematics Subject Classification ID

Stochastic approximation (62L20) Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20) Stochastic learning and adaptive control (93E35)

Recommendations

• Adaptive optimal allocation in stratified sampling methods
• Adaptive strategy for stratified Monte Carlo sampling
• Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
• Minimax number of strata for online stratified sampling: the case of noisy samples
• Dynamic Allocation in Survey Sampling

Cites work

• A general control variate method for option pricing under Lévy processes
• Acceleration on adaptive importance sampling with sample average approximation
• Adaptative Monte Carlo Method, A Variance Reduction Technique
• Adaptive importance sampling and control variates
• Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
• Adaptive optimal allocation in stratified sampling methods
• Adaptive strategy for stratified Monte Carlo sampling
• Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
• An adaptive Monte Carlo integration algorithm with general division approach
• Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
• Estimation of distributions via multilevel Monte Carlo with stratified sampling
• First order control variates algorithm for reliability analysis of engineering structures
• On adaptive stratification
• On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
• Optimizing adaptive importance sampling by stochastic approximation
• Reliability sensitivity analysis method based on subset simulation hybrid techniques
• Robust adaptive importance sampling for normal random vectors
• Unconstrained recursive importance sampling
• Variance reduction for Asian options under a general model framework

Cited in

(9)

• Minimax number of strata for online stratified sampling given noisy samples
• Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
• MONTE CARLO VARIANCE REDUCTION METHODS WITH APPLICATIONS IN STRUCTURAL RELIABILITY ANALYSIS
• Sampling and change of measure for Monte Carlo integration on simplices
• Monte Carlo methods with infinite variances
• Controlling antithetic variates
• Antithetic variates revisited again
• Adaptive optimal allocation in stratified sampling methods
• Stopping rules for Monte Carlo methods of martingale difference type

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