Methods of Reducing Sample Size in Monte Carlo Computations

From MaRDI portal
Publication:5378605

DOI10.1287/opre.1.5.263zbMath1414.90373OpenAlexW2063471322WikidataQ59487550 ScholiaQ59487550MaRDI QIDQ5378605

No author found.

Publication date: 3 June 2019

Published in: Journal of the Operations Research Society of America (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1.5.263



Related Items

Testing the assumptions behind importance sampling, Importance Sampling and Necessary Sample Size: An Information Theory Approach, A tutorial on particle filters, Smoothing Splines Approximation Using Hilbert Curve Basis Selection, Unnamed Item, The sample size required in importance sampling, Unnamed Item, A Survey of Sequential Monte Carlo Methods for Economics and Finance, Optimization under Rare Chance Constraints, Efficient trace generation for rare-event analysis in chemical reaction networks, Computing highly accurate confidence limits from discrete data using importance sampling, Rethinking the Effective Sample Size, Meta variance reduction for Monte Carlo estimation of energetic particle confinement during stellarator optimization, On the stochastic inventory problem under order capacity constraints, Single-index importance sampling with stratification, Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions, Importance sampling the union of rare events with an application to power systems analysis, Multilevel Sequential Importance Sampling for Rare Event Estimation, Uncertainty quantification of stochastic simulation for black-box computer experiments, Instance weighting through data imprecisiation, Importance sampling: intrinsic dimension and computational cost, Stochastic finite element methods for partial differential equations with random input data, Approximating concept stability using variance reduction techniques, Importance sampling in systems simulation: A practical failure?, Implicitly adaptive importance sampling, Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation, Importance sampling via a simulacrum, Multi-stage splitting integrators for sampling with modified Hamiltonian Monte Carlo methods, Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis, Generalized multiple importance sampling, Output-Weighted Optimal Sampling for Bayesian Experimental Design and Uncertainty Quantification, Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula, Importance sampling and its optimality for stochastic simulation models, Bayesian econometrics and forecasting. (With comments), Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation, \texttt{CAMERA}: a method for cost-aware, adaptive, multifidelity, efficient reliability analysis, Variance reduction for Metropolis-Hastings samplers