Optimizing adaptive importance sampling by stochastic approximation
From MaRDI portal
Recommendations
Cites work
- A general control variate method for option pricing under Lévy processes
- A Stochastic Approximation Method
- Acceleration of Stochastic Approximation by Averaging
- Acceleration on adaptive importance sampling with sample average approximation
- Adaptative Monte Carlo Method, A Variance Reduction Technique
- 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
- An importance sampling method based on the density transformation of Lévy processes
- Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
- General results on the convergence of stochastic algorithms
- scientific article; zbMATH DE number 1972910 (Why is no real title available?)
- scientific article; zbMATH DE number 3992716 (Why is no real title available?)
- Lectures on Stochastic Programming
- Minimizing finite sums with the stochastic average gradient
- 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
- Rate of Convergence for Constrained Stochastic Approximation Algorithms
- Robust Stochastic Approximation Approach to Stochastic Programming
- Stochastic approximation with two time scales
- Stochastic dual coordinate ascent methods for regularized loss minimization
- Unconstrained recursive importance sampling
- Variance reduction for Asian options under a general model framework
Cited in
(22)- Adapative importance sampling on discrete Markov chains
- A class of optimum importance sampling strategies
- Stochastic accelerated alternating direction method of multipliers with importance sampling
- Adaptive importance sampling for optimization under uncertainty problems
- Adaptive importance sampling and control variates
- Convergence rates for optimised adaptive importance samplers
- Importance sampling and its optimality for stochastic simulation models
- Stochastic adaptation of importance sampler
- On importance sampling in the problem of global optimization
- Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
- scientific article; zbMATH DE number 1959636 (Why is no real title available?)
- Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
- Daisee: Adaptive importance sampling by balancing exploration and exploitation
- MONTE CARLO VARIANCE REDUCTION METHODS WITH APPLICATIONS IN STRUCTURAL RELIABILITY ANALYSIS
- Batching Adaptive Variance Reduction
- Sampling and change of measure for Monte Carlo integration on simplices
- Efficient exponential tilting with applications
- Controlling antithetic variates
- Global convergence of optimized adaptive importance samplers
- Antithetic variates revisited again
- Stopping rules for Monte Carlo methods of martingale difference type
- Robust adaptive importance sampling for normal random vectors
This page was built for publication: Optimizing adaptive importance sampling by stochastic approximation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4584930)
