Results 11 to 20 of about 17,312,778 (333)
A splitting scheme for control variates [PDF]
Operations Research Letters, 1993 The authors give a new control-variate estimator of an unknown expectation parameter \(\theta\). A new proposed splitting scheme lacks the shortcomings of other well known procedures given in the earlier literature. The present results are an unbiased point estimator of \(\theta\), an unbiased variance estimator and an asymptotically exact confidence ...
Athanassios N. Avramidis +1 more
openaire +4 more sources
Adaptive Safety Evaluation for Connected and Automated Vehicles With Sparse Control Variates [PDF]
IEEE transactions on intelligent transportation systems (Print), 2022 Safety performance evaluation is critical for developing and deploying connected and automated vehicles (CAVs). One prevailing way is to design testing scenarios using prior knowledge of CAVs, test CAVs in these scenarios, and then evaluate their safety ...
Jingxuan Yang +5 more
semanticscholar +3 more sources
Supervised Machine Learning with Control Variates for American Option Pricing
Foundations of Computing and Decision Sciences, 2018 In this paper, we make use of a Bayesian (supervised learning) approach in pricing American options via Monte Carlo simulations. We first present Gaussian process regression (Kriging) approach for American options pricing and compare its performance in ...
Mu Gang +3 more
doaj +2 more sources
Leveraging neural control variates for enhanced precision in lattice field theory [PDF]
Physical Review D, 2023 Results obtained with stochastic methods have an inherent uncertainty due to the finite number of samples that can be achieved in practice. In lattice QCD this problem is particularly salient in some observables like, for instance, observables involving ...
P. Bedaque, Hyunwoo Oh
semanticscholar +1 more source
Control variates for lattice field theory [PDF]
Physical Review D, 2023 In most lattice field theories, correlators are plagued by a signal-to-noise problem of exponential difficulty in the time separation. We propose a method for improving the signal-to-noise ratio, in which control variates are systematically constructed ...
Tanmoy Bhattacharya +2 more
semanticscholar +1 more source
Theoretical guarantees for neural control variates in MCMC [PDF]
Mathematics and Computers in Simulation, 2023 In this paper, we propose a variance reduction approach for Markov chains based on additive control variates and the minimization of an appropriate estimate for the asymptotic variance.
D. Belomestny +3 more
semanticscholar +1 more source
When can Regression-Adjusted Control Variates Help? Rare Events, Sobolev Embedding and Minimax Optimality [PDF]
Neural Information Processing Systems, 2023 This paper studies the use of a machine learning-based estimator as a control variate for mitigating the variance of Monte Carlo sampling. Specifically, we seek to uncover the key factors that influence the efficiency of control variates in reducing ...
J. Blanchet +3 more
semanticscholar +1 more source
Fast Compression of MCMC Output
Entropy, 2021 We propose cube thinning, a novel method for compressing the output of an MCMC (Markov chain Monte Carlo) algorithm when control variates are available. It allows resampling of the initial MCMC sample (according to weights derived from control variates),
Nicolas Chopin, Gabriel Ducrocq
doaj +1 more source
An approximate control variates approach to multifidelity distribution estimation [PDF]
SIAM/ASA J. Uncertain. Quantification, 2023 Forward simulation-based uncertainty quantification that studies the distribution of quantities of interest (QoI) is a crucial component for computationally robust engineering design and prediction.
Ruijian Han, A. Narayan, Yiming Xu
semanticscholar +1 more source
Precision redshift-space galaxy power spectra using Zel'dovich control variates [PDF]
Journal of Cosmology and Astroparticle Physics, 2022 Numerical simulations in cosmology require trade-offs between volume, resolution and run-time that limit the volume of the Universe that can be simulated, leading to sample variance in predictions of ensemble-average quantities such as the power spectrum
J. DeRose +3 more
semanticscholar +1 more source