Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation

Reiichiro Kawai

doi:10.1515/mcma.2007.010

Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation

Monte Carlo Methods and Applications ◽

10.1515/mcma.2007.010 ◽

2007 ◽

Vol 13 (3) ◽

Cited By ~ 11

Author(s):

Reiichiro Kawai

Keyword(s):

Monte Carlo ◽

Stochastic Approximation ◽

Time Scale ◽

Variance Reduction ◽

Adaptive Monte Carlo

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Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation

Methodology And Computing In Applied Probability ◽

10.1007/s11009-007-9043-5 ◽

2007 ◽

Vol 10 (2) ◽

pp. 199-223 ◽

Cited By ~ 14

Author(s):

Reiichiro Kawai

Keyword(s):

Monte Carlo ◽

Stochastic Approximation ◽

Time Scale ◽

Lévy Processes ◽

Variance Reduction ◽

Levy Processes ◽

Adaptive Monte Carlo

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AN ADAPTIVE MONTE CARLO MARKOV CHAIN METHOD APPLIED TO THE FLOW INVOLVING SELF-SIMILAR PROCESSES IN POROUS MEDIA

Journal of Porous Media ◽

10.1615/jpormedia.v17.i3.40 ◽

2014 ◽

Vol 17 (3) ◽

pp. 225-237

Author(s):

Juarez S. Azevedo ◽

Gildeberto S. Cardoso ◽

Leizer Schnitman

Keyword(s):

Porous Media ◽

Monte Carlo ◽

Markov Chain ◽

Monte Carlo Markov Chain ◽

Adaptive Monte Carlo ◽

Markov Chain Method ◽

Self Similar

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Discrepancy Driven Adaptive Monte Carlo for Forward Uncertainty Forecasting in Nonlinear Dynamical Systems

2018 Annual American Control Conference (ACC) ◽

10.23919/acc.2018.8431731 ◽

2018 ◽

Cited By ~ 2

Author(s):

Chao Yang ◽

Mrinal Kumar

Keyword(s):

Monte Carlo ◽

Dynamical Systems ◽

Nonlinear Dynamical Systems ◽

Nonlinear Dynamical ◽

Adaptive Monte Carlo

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Adaptive Monte Carlo simulation for time-variant reliability analysis of brittle structures

AIAA Journal ◽

10.2514/3.13505 ◽

1997 ◽

Vol 35 ◽

pp. 321-326 ◽

Cited By ~ 1

Author(s):

Sankaran Mahadevan ◽

Animesh Dey

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Reliability Analysis ◽

Adaptive Monte Carlo

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Parallelized Global Stochastic Optimization for Efficient Ensemble Enhancement within an Adaptive Monte Carlo Forecasting Platform

AIAA Scitech 2021 Forum ◽

10.2514/6.2021-1857 ◽

2021 ◽

Author(s):

Andrew W. VanFossen ◽

Mrinal Kumar

Keyword(s):

Monte Carlo ◽

Stochastic Optimization ◽

Adaptive Monte Carlo

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Variance Reduction for Monte Carlo Methods

Доклады Академии наук ◽

10.31857/s086956520002903-6 ◽

2018 ◽

Vol 482 (6) ◽

pp. 627-630

Author(s):

D. Belomestny ◽

◽

L. Iosipoi ◽

N. Zhivotovskiy ◽

◽

...

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Variance Reduction

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Accelerating Monte Carlo: quasirandom sequences and variance reduction

The Journal of Computational Finance ◽

10.21314/jcf.1997.007 ◽

1997 ◽

Vol 1 (2) ◽

pp. 79-95 ◽

Cited By ~ 4

Author(s):

Leonard Berman

Keyword(s):

Monte Carlo ◽

Variance Reduction

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Variance reduction methods applied to deep-penetration Monte Carlo problems

10.2172/5970446 ◽

1986 ◽

Cited By ~ 5

Author(s):

S N Cramer ◽

J S Tang

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Deep Penetration ◽

Reduction Methods

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An Enhanced Machine Learning Model for Adaptive Monte Carlo Yield Analysis

Proceedings of the 2020 ACM/IEEE Workshop on Machine Learning for CAD ◽

10.1145/3380446.3430635 ◽

2020 ◽

Author(s):

Richard Kimmel ◽

Tong Li ◽

David Winston

Keyword(s):

Machine Learning ◽

Monte Carlo ◽

Learning Model ◽

Adaptive Monte Carlo ◽

Yield Analysis ◽

Machine Learning Model

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Research on Adaptive Monte Carlo Location Algorithm Aided by Ultra-Wideband Array

2018 13th World Congress on Intelligent Control and Automation (WCICA) ◽

10.1109/wcica.2018.8630520 ◽

2018 ◽

Author(s):

Pengfei Wang ◽

Nuo Chen ◽

Fusheng Zha ◽

Wei Guo ◽

Mantian Li

Keyword(s):

Monte Carlo ◽

Ultra Wideband ◽

Adaptive Monte Carlo ◽

Location Algorithm ◽

Wideband Array

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