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Items for "Importance Sampling"

Adaptative Monte Carlo Method, A Variance Reduction Technique

In this article we propose an adaptative variance reduction method for Monte Carlo simulations. The method uses importance sampling scheme based on a change of drift...

Keywords: Monte Carlo methods, variance reduction, Importance Sampling, RobbinsMonro algorithms, Martingales, Chen projection method

03/2004 | Monte Carlo Methods and Applications, Walter de Gruyter
Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation

Combined control variates and importance sampling variance reduction and its two-fold optimality are investigated...

Keywords: Control variates, Girsanov theorem, Importance Sampling, Monte Carlo methods, stochastic approximation, two time scales, variance reduction

08/2007 | Monte Carlo Methods and Applications, Walter de Gruyter