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...
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...
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, ...
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...
Charles D. McAllister, Bertan Altuntas, Matthew Fr...
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 ...