Adaptive control of stochastic calculating processes

DOI10.1016/S0378-3758(99)00082-8MaRDI QIDQ1973274zbMATH OpenFDO

Authors V. M. Ivanov, O. Yu. Kul'chitskij, D. G. Arsenjev

Publication date 8 May 2001

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-3758(99)00082-8

zbMATH Keywords

adaptive controladaptive stochastic learningMonte-Carlo proceduremultidimensional integrationstochastic calculating process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic learning and adaptive control (93E35)

Review text

The authors propose adaptive control methods for Monte-Carlo procedures of multidimensional integration and numerical solution of Fredholm-type integral equations. Let, for example, the \(n\)-dimensional integral \( J=\int_D f(x) dx=E\{f(\xi)/p(\xi)\} \) over a bounded closed set \(D\subset\mathbb{R}^n\) be evaluated. Here \(\xi\) is a random variable with values in \(D\) distributed with a density \(p=p(x)>0\), \(x\in D\). Suppose that the estimate \(\widehat J_N\) of \(J\) is represented in the form \(\widehat J_N=\widehat\theta^T_N\int_D\psi(x)p(x) dx\), where the integral \(\int_D\psi(x)p(x) dx\) is considered to be known. The authors use a recurrent system of equations satisfied by \(\widehat\theta_N\) as a stochastic object of control with the control action represented by a function of unit distribution density of a random grid of integration. The criterion of evaluation accuracy is chosen to be the criterion of optimal functioning.

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Cites work

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Cited in

(5)

• Methods of adaptive control of the network in the problem of calculation of integral characteristics of complex systems
• Stochastic search algorithm with an application to multidimensional integration
• On the choice of distribution densities in adaptive mesh nodes for stochastic algorithms of numerical integration and function approximation
• Adaptive Control Variates for Finite-Horizon Simulation
• Monte Carlo Techniques for Parametric Finite Multidimensional Integral Equations

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