Practical variance reduction via regression for simulating diffusions
Электронный научный архив УРФУ
Информация об архиве | Просмотр оригинала| Поле | Значение | |
| Заглавие |
Practical variance reduction via regression for simulating diffusions
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| Автор |
Mllstein, G. N.
Tretyakov, M. V. |
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| Тематика |
MONTE CARLO TECHNIQUE
NUMERICAL INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS PROBABILISTIC REPRESENTATIONS OF SOLUTIONS OF PARTIAL DIFFERENTIAL EQUATIONS REGRESSION VARIANCE REDUCTION METHODS COMPUTATIONAL FLUID DYNAMICS DIFFERENTIAL EQUATIONS IMAGE SEGMENTATION MEASUREMENT THEORY NUMERICAL METHODS PARTIAL DIFFERENTIAL EQUATIONS RANDOM PROCESSES REGRESSION ANALYSIS STOCHASTIC CONTROL SYSTEMS TELECOMMUNICATION NETWORKS MONTE CARLO TECHNIQUE NUMERICAL INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS PROBABILISTIC REPRESENTATIONS OF SOLUTIONS OF PARTIAL DIFFERENTIAL EQUATIONS REGRESSION VARIANCE REDUCTION METHODS MONTE CARLO METHODS |
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| Описание |
The well-known variance reduction methods-the method of importance sampling and the method of control variates-can be exploited if an approximation of the required solution is known. Here we employ conditional probabilistic representations of solutions together with the regression method to obtain sufficiently inexpensive (although rather rough) estimates of the solution and its derivatives by using the single auxiliary set of approximate trajectories starting from the initial position. These estimates can effectively be used for significant reduction of variance and further accurate evaluation of the required solution. The developed approach is supported by numerical experiments. © 2009 Society for Industrial and Applied Mathematics.
Engineering and Physical Sciences Research Council, EPSRC: EP/D049792/1 |
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| Дата |
2024-04-24T12:38:25Z
2024-04-24T12:38:25Z 2009 |
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| Тип |
Article
Journal article (info:eu-repo/semantics/article) info:eu-repo/semantics/submittedVersion |
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| Идентификатор |
Milstein, G. N., & Tretyakov, M. V. (2009b). Practical variance reduction via regression for simulating diffusions. SIAM Journal on Numerical Analysis, 47(2), 887–910. doi:10.1137/060674661
0036-1429 Final All Open Access, Green https://figshare.com/articles/journal_contribution/Practical_Variance_Reduction_via_Regression_for_Simulating_Diffusions/10088204/1/files/18188711.pdf http://elar.urfu.ru/handle/10995/132592 10.1137/060674661 |
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| Язык |
en
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| Права |
Open access (info:eu-repo/semantics/openAccess)
cc-by |
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| Формат |
application/pdf
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| Издатель |
Society for Industrial & Applied Mathematics (SIAM)
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| Источник |
SIAM Journal on Numerical Analysis
SIAM Journal on Numerical Analysis |
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