JMLR
2010
13 years 6 months ago
2010
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 sam...
JMLR
2006
2006
Geometric Variance Reduction in Markov Chains: Application to Value Function and Gradient Estimation
13 years 11 months ago
We study a sequential variance reduction technique for Monte Carlo estimation of functionals in Markov Chains. The method is based on designing sequential control variates using s...
WSC
1998
14 years 23 days ago
1998
When pricing options via Monte Carlo simulations, precision can be improved either by performing longer simulations, or by reducing the variance of the estimators. In this paper, ...
WSC
2001
14 years 24 days ago
2001
Semiconductor manufacturing is generally considered a cyclic industry. As such, individual producers able to react quickly and appropriately to market conditions will have a compe...
RT
2005
Springer
14 years 4 months ago
2005
Springer
This paper develops importance resampling into a variance reduction technique for Monte Carlo integration. Importance resampling is a sample generation technique that can be used ...