Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
نویسندگان
چکیده
منابع مشابه
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. Two-time-scale stochastic approximation algorithm is applied in parameter search for the combination and almost sure convergence of the algorithm to the unique optimum is proved. The parameter search procedure is further incorporated into adaptive Monte Carlo simulation, and its la...
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ژورنال
عنوان ژورنال: Monte Carlo Methods and Applications
سال: 2007
ISSN: 0929-9629,1569-3961
DOI: 10.1515/mcma.2007.010