Weighted Uniform Sampling — a Monte Carlo Technique for Reducing Variance

DOI10.1093/imamat/2.3.228zbMath0144.42001OpenAlexW2055598786MaRDI QIDQ5521196

J. Swann, M. J. D. Powell

Publication date: 1966

Published in: IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamat/2.3.228

zbMATH Keywords

statistics

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On the use of variance reducing multipliers in Monte Carlo computations of a global sensitivity index ⋮ A new proof of geometric convergence for the adaptive generalized weighted analog sampling (GWAS) method ⋮ Accelerating the Convergence of Lattice Methods by Importance Sampling-Based Transformations ⋮ Smoothness and dimension reduction in quasi-Monte Carlo methods ⋮ A variance reducing multiplier for Monte Carlo integrations ⋮ Path Space Filtering ⋮ Quasi-Monte Carlo methods for lattice systems: a first look ⋮ Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models

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