The Problem of Dimensionality in Stratified Sampling

DOI10.1287/MNSC.35.11.1278MaRDI QIDQ4730605zbMATH OpenOpenAlexFDO

Authors Teresa Davenport, Russell C. H. Cheng

Publication date 1989

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.35.11.1278

zbMATH Keywords

accuracy of estimatorscontrol variablesdimensionality of the sample spacequasirandom sequencesshadow response variablesStratified samplingvariance reduction

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Probabilistic methods, stochastic differential equations (65C99) Operations research and management science (90B99)

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Cited in

(11)

• Obtaining minimum-correlation Latin hypercube sampling plans using an IP-based heuristic
• Variance reduction algorithms for parallel replicated simulation of uniformized Markov chains
• Stratified Monte Carlo simulation of Markov chains
• Stratified random sampling for dependent inputs in Monte Carlo simulations from computer experiments
• Efficient randomized quasi-Monte Carlo methods for portfolio market risk
• Simulation of the sum-product algorithm using stratified sampling
• scientific article; zbMATH DE number 1103076 (Why is no real title available?)
• Sudoku Latin Square Sampling for Markov Chain Simulation
• On adaptive stratification
• Simple stratified sampling for simulating multi-dimensional Markov chains
• Controlled stratification for quantile estimation

Describes a project that uses

Uses Software

• Algorithm 647

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