Results 31 to 40 of about 40,789 (244)
Multilevel Monte Carlo Path Simulation [PDF]
Operations Research, 2008 We show that multigrid ideas can be used to reduce the computational complexity of estimating an expected value arising from a stochastic differential equation using Monte Carlo path simulations. In the simplest case of a Lipschitz payoff and a Euler discretisation, the computational cost to achieve an accuracy of O(ϵ) is reduced from O(ϵ−3) to O(ϵ−2 (
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Markov chain simulation for multilevel Monte Carlo
Foundations of Data Science, 2021 This paper considers a new approach to using Markov chain Monte Carlo (MCMC) in contexts where one may adopt multilevel (ML) Monte Carlo. The underlying problem is to approximate expectations w.r.t. an underlying probability measure that is associated to a continuum problem, such as a continuous-time stochastic process.
Jasra, Ajay, Law, Kody J. H., Xu, Yaxian
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Multilevel Assimilation of Inverted Seismic Data With Correction for Multilevel Modeling Error
Frontiers in Applied Mathematics and Statistics, 2021 With large amounts of simultaneous data, like inverted seismic data in reservoir modeling, negative effects of Monte Carlo errors in straightforward ensemble-based data assimilation (DA) are enhanced, typically resulting in underestimation of parameter ...
Mohammad Nezhadali +4 more
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Multilevel Markov Chain Monte Carlo Method for High-Contrast Single-Phase Flow Problems [PDF]
, 2014 In this paper we propose a general framework for the uncertainty quantification of quantities of interest for high-contrast single-phase flow problems.
Efendiev, Yalchin +3 more
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Multilevel Monte Carlo in approximate Bayesian computation [PDF]
Stochastic Analysis and Applications, 2019 In the following article we consider approximate Bayesian computation (ABC) inference. We introduce a method for numerically approximating ABC posteriors using the multilevel Monte Carlo (MLMC). A sequential Monte Carlo version of the approach is developed and it is shown under some assumptions that for a given level of mean square error, this method ...
Jasra, Ajay +4 more
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Implementing a Simulation Study Using Multiple Software Packages for Structural Equation Modeling
SAGE Open, 2015 A Monte Carlo simulation study is an essential tool for evaluating the behavior of various quantitative methods including structural equation modeling (SEM) under various conditions.
Sunbok Lee
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Frontiers in Digital Health, 2023 Advances in digital technology have greatly increased the ease of collecting intensive longitudinal data (ILD) such as ecological momentary assessments (EMAs) in studies of behavior changes.
Linying Ji +7 more
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Metropolis Methods for Quantum Monte Carlo Simulations [PDF]
, 2003 Since its first description fifty years ago, the Metropolis Monte Carlo method has been used in a variety of different ways for the simulation of continuum quantum many-body systems.
Ceperley, D. M.
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Multilevel Monte Carlo for Smoothing via Transport Methods [PDF]
SIAM Journal on Scientific Computing, 2018 In this article we consider recursive approximations of the smoothing distribution associated to partially observed stochastic differential equations (SDEs), which are observed discretely in time. Such models appear in a wide variety of applications including econometrics, finance and engineering.
Houssineau, Jeremie +2 more
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Bayesian multilevel model on maternal mortality in Ethiopia
Journal of Big Data, 2021 Maternal mortality is one of the socio-economic problems and widely considered a serious indicator of the quality of a health. Ethiopia is considered to be one of the top six sub-Saharan countries with severe maternal mortality.
Shibiru Jabessa, Dabala Jabessa
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