Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata

DOI10.1145/1734222.1734225MaRDI QIDQ4635148zbMATH OpenOpenAlexFDO

Authors Reiichiro Kawai

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

zbMATH Keywords

control variatesimportance samplingvariance reductionBrownian bridgestratified samplingstochastic approximation algorithmPoisson stratification

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65)

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Cited in

(21)

• \(L_ 1\)-norm and other methods for sample allocation in multivariate stratified surveys
• Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
• Adaptive importance sampling and control variates
• On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws
• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Acceleration on adaptive importance sampling with sample average approximation
• On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
• scientific article; zbMATH DE number 679510 (Why is no real title available?)
• Minimax number of strata for online stratified sampling: the case of noisy samples
• Optimum Allocation of Stratified Random Samples Designed for Multiple Mean Estimates and Multiple Observed Variables
• On adaptive stratification
• Adaptive optimal allocation in stratified sampling methods
• Control variates and conditional Monte Carlo for basket and Asian options
• Optimizing adaptive importance sampling by stochastic approximation
• The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling
• Monte Carlo methods with infinite variances
• Controlling antithetic variates
• Batching Adaptive Variance Reduction
• Antithetic variates revisited again
• 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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