Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
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Publication:6117013
DOI10.1007/s11222-023-10270-yzbMath1517.62013arXiv2212.00568OpenAlexW4384405295MaRDI QIDQ6117013
Julien Demange-Chryst, Jérôme Morio, François Bachoc
Publication date: 16 August 2023
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2212.00568
importance samplingvariance reductionglobal sensitivity analysiscontrol variatesmultiple expectation estimation
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Cites Work
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- Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
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