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The Problem of Dimensionality in Stratified Sampling
Cheng, Russell C. H.; Davenport, Teresa - In: Management Science 35 (1989) 11, pp. 1278-1296
Stratified sampling is perhaps the most natural of the variance reduction techniques. However its use is often frustrated by the high dimensionality of the sample space. This paper investigates the difficulty and suggests a basic sampling scheme for use in such problems. The accuracy of...
Persistent link: https://www.econbiz.de/10009191308
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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Optimal reactive power dispatch using water wave optimization algorithm
Zhou, Yongquan; Zhang, Jinzhong; Yang, Xiao; Ling, Ying - In: Operational research : an international journal 20 (2020) 4, pp. 2537-2553
Persistent link: https://www.econbiz.de/10012306715
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An improved variant of the rare event simulation method RESTART using prolonged retrials
Villén-Altamirano, José - In: Operations Research Perspectives 6 (2019), pp. 1-9
RESTART is a widely applicable accelerated simulation technique that allows the evaluation of extremely low …
Persistent link: https://www.econbiz.de/10012662777
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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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Defect reduction justification by quantifying hidden costs in bearing production
Bagchi, Tapan - In: International journal of operations and quantitative … 19 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010198936
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Variance reduction with Monte Carlo estimates of error rates in multivariate classification
Weihs, Claus; Calzolari, Giorgio; Röhl, Michael Claus - 1999
Persistent link: https://www.econbiz.de/10009789908
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Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Dang, Duy Minh; Jackson, Kenneth R.; Mohammadi, Mohammadreza - In: Applied mathematical finance 22 (2015) 5/6, pp. 522-552
Persistent link: https://www.econbiz.de/10011490623
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Variance reduction with array-RQMC for Tau-Leaping simulation of stochastic biological and chemical reaction networks
Puchhammer, Florian; Ben Abdellah, Amal; L'Ecuyer, Pierre - 2021
Persistent link: https://www.econbiz.de/10012599478
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An efficient variance reduction-based simulation algorithm for pricing arithmetic Asian options
Mehrdoust, Farshid; Noorani, Idin - In: Annals of financial economics 15 (2020) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012642935