Minimax optimization of the numerical-statistical similar trajectory method
type: Item
instance of: scholarly article
title: Minimax optimization of the numerical-statistical similar trajectory method
zbMATH Open document ID: 1260.49041
DOI: 10.1134/S1064562412050055
author: G. A. Mikhaĭlov
author: S. A. Rozhenko
published in: Doklady Mathematics
publication date: 2013-01-14T00:00:00Z
review text: Importance sampling, weighted Monte-Carlo and similar trajectory methods need the estimation of some density \(p\) from a family \(P\) of densities such that the variance of \(g / p\) with respect to the density \(p\) is minimal. It is well-known that in the case of positive densities, the minimum is given for \(p=g\) whenever \(g\) itself is a positive density. The authors solve for given positive densities \(g_1,g_2\) the minimax problem \(\min_{p\in P}\max_{i=1,2}\{\int_{0}^{\infty}g_i^2(x)/p(x)dx\}\) for a couple of simple families \(P\) explicitly and extend the result to some \(g_1\) and \(g_2\) connecting one parametric families \(g(t), t\in \Sigma\). Finally, they shortly discuss in an example the application to integral equations with a similar trajectory method.
reviewed by: Armin Hoffmann
Mathematics Subject Classification ID: 49K35
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 62E17
Mathematics Subject Classification ID: 62G07
zbMATH DE Number: 6124988
zbMATH Keywords: importance sampling
zbMATH Keywords: similar trajectory method
zbMATH Keywords: minimax problems
zbMATH Keywords: weighted Monte-Carlo method
MaRDI profile type: Publication
cites work: Weighted Monte Carlo algorithms with branching corresponding member of the RAS
description: scientific article; zbMATH DE number 6124988