Robust Variance Reduction for Random Walk Methods

DOI10.1137/S1064827503424025MaRDI QIDQ4652302zbMATH OpenFDO

Authors Gang Zou, Robert D. Skeel

Publication date 25 February 2005

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

Full work available at URL https://doi.org/10.1137/S1064827503424025

zbMATH Keywords

importance samplingMonte Carlo simulationpath integralsrandom walk methodsstochastic differential equationsvariance reduction

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Kinetics in biochemical problems (pharmacokinetics, enzyme kinetics, etc.) (92C45)

Recommendations

• Variance Reduction for Simulated Diffusions
• Variance reduction for diffusions
• Variance reduction for Metropolis-Hastings samplers
• Variance reduction in Monte Carlo estimators via empirical variance minimization
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• scientific article; zbMATH DE number 66849
• Variance reduction techniques and quasi-Monte Carlo methods
• scientific article; zbMATH DE number 1839759

Cited in

(4)

• Touching on a zero-variance scheine in solving linear equations by randorn walk processes
• scientific article; zbMATH DE number 1069619 (Why is no real title available?)
• An automatic adaptive importance sampling algorithm for molecular dynamics in reaction coordinates
• Simulation of diffusions by means of importance sampling paradigm

This page was built for publication: Robust Variance Reduction for Random Walk Methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4652302)