Advanced Variance Reduction Techniques 3 The General Formulation
نویسنده
چکیده
In these lecture notes we cover the more advanced variance reduction techniques of importance sampling and stratified sampling. Importance sampling is particularly suited for estimating the probabilities of rare events and, in conjunction with stratified sampling, often results in a sample variance that is several orders of magnitude smaller than the variance of the naive Monte-Carlo estimator. We begin with importance sampling.
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