Stratified regression-based variance reduction approach for weak approximation schemes
نویسندگان
چکیده
منابع مشابه
On Combining Graph-based Variance Reduction schemes
In this paper, we consider two variance reduction schemes that exploit the structure of the primal graph of the graphical model: Rao-Blackwellised w-cutset sampling and AND/OR sampling. We show that the two schemes are orthogonal and can be combined to further reduce the variance. Our combination yields a new family of estimators which trade time and space with variance. We demonstrate experime...
متن کاملFast fully polynomial approximation schemes for minimizing completion time variance
We present fully polynomial approximation schemes for the problem of minimizing completion time variance of a set of n jobs on a single machine. The fastest of these schemes runs in time O(n/ ) and thus improves on all fully polynomial approximation schemes presented in the literature.
متن کاملBiorthogonal wavelet-based full-approximation schemes for the numerical solution of elasto-hydrodynamic lubrication problems
Biorthogonal wavelet-based full-approximation schemes are introduced in this paper for the numerical solution of elasto-hydrodynamic lubrication line and point contact problems. The proposed methods give higher accuracy in terms of better convergence with low computational time, which have been demonstrated through the illustrative problems.
متن کاملCombining Bias and Variance Reduction Techniques for Regression Trees
Gradient Boosting and bagging applied to regressors can reduce the error due to bias and variance respectively. Alternatively, Stochastic Gradient Boosting (SGB) and Iterated Bagging (IB) attempt to simultaneously reduce the contribution of both bias and variance to error. We provide an extensive empirical analysis of these methods, along with two alternate bias-variance reduction approaches — ...
متن کاملPractical Variance Reduction via Regression for Simulating Diffusions
The well-known variance reduction methods—the method of importance sampling and the method of control variates—can be exploited if an approximation of the required solution is known. Here we employ conditional probabilistic representations of solutions together with the regression method to obtain sufficiently inexpensive (although rather rough) estimates of the solution and its derivatives by ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics and Computers in Simulation
سال: 2018
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2017.05.003