Adaptive optimal allocation in stratified sampling methods

DOI10.1007/S11009-008-9108-0MaRDI QIDQ708783zbMATH OpenOpenAlexFDO

Authors Pierre Etoré, Benjamin Jourdain

Publication date 14 October 2010

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.4514

zbMATH Keywords

financenumerical exampleBlack-Scholes modelstratified samplingAsian optionsadaptive Monte Carlo methodsvariance reduction algorithm

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Monte Carlo methods (65C05) Sampling theory, sample surveys (62D05) Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05)

Abstract: In this paper, we propose a stratified sampling algorithm in which the random drawings made in the strata to compute the expectation of interest are also used to adaptively modify the proportion of further drawings in each stratum. These proportions converge to the optimal allocation in terms of variance reduction. And our stratified estimator is asymptotically normal with asymptotic variance equal to the minimal one. Numerical experiments confirm the efficiency of our algorithm.

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 2013850 (Why is no real title available?)
• Adaptative Monte Carlo Method, A Variance Reduction Technique
• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• Controlled stratification for quantile estimation

Cited in

(21)

• The Problem of Dimensionality in Stratified Sampling
• Robust adaptive importance sampling for normal random vectors
• Adaptive variance reduction techniques in finance
• scientific article; zbMATH DE number 4113754 (Why is no real title available?)
• Efficient estimators for adaptive stratified sequential sampling
• Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
• A genetic algorithm applied to optimal allocation in stratified sampling
• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• A biobjective method for sample allocation in stratified sampling
• Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
• Efficient randomized quasi-Monte Carlo methods for portfolio market risk
• Subgroup analysis and adaptive experiments crave for debiasing
• Adaptive strategy for stratified Monte Carlo sampling
• Minimax number of strata for online stratified sampling: the case of noisy samples
• On adaptive stratification
• Control variates and conditional Monte Carlo for basket and Asian options
• Active Learning in Multi-armed Bandits
• Minimax number of strata for online stratified sampling given noisy samples
• Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
• Rare event simulation for electronic circuit design
• Convenient multiple directions of stratification

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