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Items for "variance reduction"

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

Monte Carlo variance reduction in applications to Systems Reliability using Phase Space Splitting

Splitting is a widely known Monte Carlo variance reduction method (VRM). It has been successfully applied for a long time in Monte Carlo applications to neutral particles transport in Nuclear Engineering...

Keywords: Monte Carlo, variance reduction, Phase Space Splitting, Systems Reliability

06/2004 | Monte Carlo Methods and Applications, Walter de Gruyter

Stochastic particle methods for Smoluchowski coagulation equation: variance reduction and error estimations

Stochastic particle methods for the coagulation-fragmentation Smoluchowski equation are developed and a general variance reduction technique is suggested...

Keywords: Stochastic particle methods, Smoluchowski equation, variance reduction, coagulation-fragmentation process,

12/2003 | Monte Carlo Methods and Applications, Walter de Gruyter

An importance sampling method based on the density transformation of Lévy processes

In this paper, we develop an importance sampling method with the help of flexible control on the Lévy measure in the density transformation...

Keywords: CGMY process, Esscher transform, Gamma process, Meixner process, Monte Carlo simulations, series representation, subordination, variance reduction

04/2006 | Monte Carlo Methods and Applications, Walter de Gruyter

Integral Evaluation Using the Δ²-distribution. Simulation and Illustration

The Δ²-distribution is a multivariate distribution, which plays an important role in variance reduction of Monte Carlo integral evaluation...

Keywords: variance reduction, 2-distribution, reliability theory

08/2007 | 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