Acceleration on Adaptive Importance Sampling with Sample Average Approximation

DOI10.1137/15M1047192zbMath1372.65005OpenAlexW2748706750MaRDI QIDQ5350440

Reiichiro Kawai

Publication date: 1 September 2017

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1047192

zbMATH Keywords

algorithmconvergenceimportance samplingMonte Carlo simulationscentral limit theoremvariance reductionexponential familynumerical resultsmall sample sizessample average approximationmultivariate probability laws

Mathematics Subject Classification ID

Related Items (9)

Optimizing Adaptive Importance Sampling by Stochastic Approximation ⋮ Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata ⋮ Batching Adaptive Variance Reduction ⋮ A limited-memory BFGS-based differential evolution algorithm for optimal control of nonlinear systems with mixed control variables and probability constraints ⋮ Distributionally robust Weber problem with uncertain demand ⋮ Sampling and change of measure for Monte Carlo integration on simplices ⋮ Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws ⋮ Adaptive importance sampling and control variates ⋮ Convergence rates for optimised adaptive importance samplers

Uses Software

• VEGAS

Cites Work

• Unnamed Item
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• Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
• Convergence properties of two-stage stochastic programming

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