Мақаланы E-mail арқылы жіберу Variance Reduction in Monte Carlo Estimators via Empirical Variance Minimization
- Авторлар: Belomestny D.V.1,2, Iosipoi L.S.1,3, Zhivotovskiy N.K.1,2,4
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Мекемелер:
- National Research University Higher School of Economics
- University of Duisburg-Essen
- Faculty of Mechanics and Mathematics
- Institute for Information Transmission Problems
- Шығарылым: Том 98, № 2 (2018)
- Беттер: 494-497
- Бөлім: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/225565
- DOI: https://doi.org/10.1134/S1064562418060261
- ID: 225565
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Аннотация
For Monte Carlo estimators, a variance reduction method based on empirical variance minimization in the class of functions with zero mean (control functions) is described. An upper bound for the efficiency of the method is obtained in terms of the properties of the functional class.
Авторлар туралы
D. Belomestny
National Research University Higher School of Economics; University of Duisburg-Essen
Email: iosipoileonid@gmail.com
Ресей, Moscow; Duisburg and Essen
L. Iosipoi
National Research University Higher School of Economics; Faculty of Mechanics and Mathematics
Хат алмасуға жауапты Автор.
Email: iosipoileonid@gmail.com
Ресей, Moscow; Moscow
N. Zhivotovskiy
National Research University Higher School of Economics; University of Duisburg-Essen; Institute for Information Transmission Problems
Email: iosipoileonid@gmail.com
Ресей, Moscow; Duisburg and Essen; Moscow
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