Functional quantization-based stratified sampling methods
نویسندگان
چکیده
منابع مشابه
Functional quantization-based stratified sampling methods
In this article, we propose several quantization based stratified sampling methods to reduce the variance of a Monte-Carlo simulation. Theoretical aspects of stratification lead to a strong link between the problem of optimal Lquantization of a random variable and the variance reduction that can be achieved. We first emphasize on the consistency of quantization for designing strata in stratifie...
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ژورنال
عنوان ژورنال: Monte Carlo Methods and Applications
سال: 2015
ISSN: 0929-9629,1569-3961
DOI: 10.1515/mcma-2014-0010