Variance reduction in Monte Carlo estimators via empirical variance minimization
type: Item
instance of: scholarly article
title: Variance reduction in Monte Carlo estimators via empirical variance minimization
zbMATH Open document ID: 1409.62146
DOI: 10.1134/S1064562418060261
author: L. S. Iosipoi
author: D. V. Belomestnyij
author: Nikita Zhivotovskiy
published in: Doklady Mathematics
publication date: 2019-01-15T00:00:00Z
Mathematics Subject Classification ID: 62J10
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 7002202
zbMATH Keywords: variance minimization
zbMATH Keywords: Monte Carlo estimators
zbMATH Keywords: control functions
MaRDI profile type: MaRDI publication profile
cites work: Variance reduction for discretised diffusions via regression
cites work: Q4267796
cites work: Ranking and empirical minimization of \(U\)-statistics
cites work: Monte Carlo Methods for Applied Scientists
cites work: Q4433608
cites work: Probability Inequalities for Sums of Bounded Random Variables
cites work: Bracketing metric entropy rates and empirical central limit theorems for function classes of Besov- and Sobolev-type
cites work: Control Functionals for Monte Carlo Integration
cites work: Simulation and the Monte Carlo Method
full work available at URL: s1064562418060261
OpenAlex ID: W2899681820
Wikidata QID: Q128954521
description: scientific article; zbMATH DE number 7002202