Some large deviations results for Latin hypercube sampling

DOI10.1007/s11009-010-9200-0zbMath1257.65007OpenAlexW3139252864MaRDI QIDQ2276415

Shane S. Drew, Tito Homem-de-mello

Publication date: 5 November 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9200-0

zbMATH Keywords

numerical resultsMonte Carlo samplingLatin hypercube samplingvariance reductionlarge deviations theory

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10)

Related Items

Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming ⋮ Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints ⋮ Variance reduction for sequential sampling in stochastic programming

Uses Software

• SUTIL

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic analysis of stochastic programs
• On Latin hypercube sampling
• Conditioning of convex piecewise linear stochastic programs
• Introduction to rare event simulation.
• Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems
• The empirical behavior of sampling methods for stochastic programming
• A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
• On complexity of multistage stochastic programs
• On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
• The Sample Average Approximation Method for Stochastic Discrete Optimization
• A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
• Probabilistic Error Bounds for Simulation Quantile Estimators
• On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
• Large Sample Properties of Simulations Using Latin Hypercube Sampling
• Monte Carlo Variance of Scrambled Net Quadrature
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Analysis of Sample-Path Optimization
• Convergence properties of two-stage stochastic programming
• On reduction of finite-sample variance by extended Latin hypercube sampling