Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
DOI10.1145/1734222.1734225zbMATH Open1386.65019OpenAlexW2093442187MaRDI QIDQ4635148FDOQ4635148
Publication date: 16 April 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/1734222.1734225
control variatesimportance samplingvariance reductionBrownian bridgestratified samplingstochastic approximation algorithmPoisson stratification
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65)
Cited In (16)
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- \(L_ 1\)-norm and other methods for sample allocation in multivariate stratified surveys
- Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
- Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
- Adaptive importance sampling and control variates
- On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
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- Optimum Allocation of Stratified Random Samples Designed for Multiple Mean Estimates and Multiple Observed Variables
- Minimax number of strata for online stratified sampling: the case of noisy samples
- Control variates and conditional Monte Carlo for basket and Asian options
- The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling
- Batching Adaptive Variance Reduction
- On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws
- Acceleration on Adaptive Importance Sampling with Sample Average Approximation
- Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
- On kernel density estimation based on different stratified sampling with optimal allocation
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