Variance reduction in Monte Carlo methods and optimization problems in R^ n

DOI10.1007/BF02576461MaRDI QIDQ1081271zbMATH OpenOpenAlexFDO

Authors G. Gheri, P. Marzulli

Publication date 1983

Published in Calcolo (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02576461

zbMATH Keywords

Monte Carlo methodsunconstrained optimization problemvariance reduction

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Numerical optimization and variational techniques (65K10)

Review text

In the framework of Monte Carlo methods a technique for reducing the variance is considered. Generalizing a procedure suggested by the second author, Probabilistic estimation of error in Richardson extrapolation. ibid. 20, 455-465 (Italian) (1983), we give a method which reduces the variance by solving an unconstrained optimization problem. Concerned with the approximate integration, some numerical tests are considered. The described technique is shown to allow more accurate results than some known ones.

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Cites work

• A method for numerical integration on an automatic computer
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Cited in

(15)

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• Variance reduction by means of deterministic computation: Collision estimate
• scientific article; zbMATH DE number 3890692 (Why is no real title available?)
• scientific article; zbMATH DE number 4152170 (Why is no real title available?)
• Stochastic algorithms and Monte Carlo methods.
• scientific article; zbMATH DE number 4094690 (Why is no real title available?)
• Variance Reduction in Monte Carlo Simulation of Electric Power Production Costs
• Optimization of a Monte Carlo variance reduction method based on sensitivity derivatives
• scientific article; zbMATH DE number 1843032 (Why is no real title available?)
• Variance reduction for Monte Carlo methods by means of deterministic numerical computation
• Meta variance reduction for Monte Carlo estimation of energetic particle confinement during stellarator optimization

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