Acceleration on adaptive importance sampling with sample average approximation
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Cites work
- A new algorithm for adaptive multidimensional integration
- A note on uniform exponential convergence of sample average approximation of random functions
- Adaptative Monte Carlo Method, A Variance Reduction Technique
- Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
- Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation
- Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
- Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
- Convergence properties of two-stage stochastic programming
- Greeks formulas for an asset price model with gamma processes
- scientific article; zbMATH DE number 439951 (Why is no real title available?)
- Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
- Lectures on Stochastic Programming
- Minimizing finite sums with the stochastic average gradient
- On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
- Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
- Robust adaptive importance sampling for normal random vectors
- Unconstrained recursive importance sampling
- Vegas revisited: Adaptive Monte Carlo integration beyond factorization
Cited in
(15)- Stochastic accelerated alternating direction method of multipliers with importance sampling
- Adaptive importance sampling and control variates
- Convergence rates for optimised adaptive importance samplers
- ACCELERATED MONTE CARLO FOR PARTICLE DISPERSION
- Optimizing adaptive importance sampling by stochastic approximation
- Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
- 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
- Controlling antithetic variates
- Global convergence of optimized adaptive importance samplers
- Antithetic variates revisited again
- Stopping rules for Monte Carlo methods of martingale difference type
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