Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata

DOI10.1145/1734222.1734225zbMath1386.65019OpenAlexW2093442187MaRDI QIDQ4635148

Reiichiro Kawai

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1734222.1734225

zbMATH Keywords

importance samplingBrownian bridgevariance reductionstratified samplingcontrol variatesstochastic approximation algorithmPoisson stratification

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65)

Related Items (11)

On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws ⋮ Optimizing Adaptive Importance Sampling by Stochastic Approximation ⋮ Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata ⋮ Acceleration on Adaptive Importance Sampling with Sample Average Approximation ⋮ Batching Adaptive Variance Reduction ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ Minimax number of strata for online stratified sampling: the case of noisy samples ⋮ Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws ⋮ Adaptive stratified Monte Carlo algorithm for numerical computation of integrals ⋮ Adaptive importance sampling and control variates ⋮ On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes

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