Adaptive importance sampling and control variates

DOI10.1016/j.jmaa.2019.123608OpenAlexW2981958474WikidataQ126994743 ScholiaQ126994743MaRDI QIDQ2009326

Reiichiro Kawai

Publication date: 28 November 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2019.123608

zbMATH Keywords

importance samplingstochastic approximationvariance reductioncontrol variatessample average approximation

Mathematics Subject Classification ID

Numerical analysis (65-XX) Systems theory; control (93-XX)

Related Items (4)

Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata ⋮ MONTE CARLO VARIANCE REDUCTION METHODS WITH APPLICATIONS IN STRUCTURAL RELIABILITY ANALYSIS ⋮ Batching Adaptive Variance Reduction ⋮ Sampling and change of measure for Monte Carlo integration on simplices

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• Adaptive Control Variates for Finite-Horizon Simulation
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