Related papers: Least Squares Importance Sampling for Libor Market…
The performance of the Monte Carlo sampling methods relies on the crucial choice of a proposal density. The notion of optimality is fundamental to design suitable adaptive procedures of the proposal density within Monte Carlo schemes. This…
Acceptance-rejection (AR), Independent Metropolis Hastings (IMH) or importance sampling (IS) Monte Carlo (MC) simulation algorithms all involve computing ratios of probability density functions (pdfs). On the other hand, classifiers…
We develop a machine learning algorithm to turn around stratification in Monte Carlo sampling. We use a different way to divide the domain space of the integrand, based on the height of the function being sampled, similar to what is done in…
A sparse modeling is a major topic in machine learning and statistics. LASSO (Least Absolute Shrinkage and Selection Operator) is a popular sparse modeling method while it has been known to yield unexpected large bias especially at a sparse…
Subsampling is a widely used and effective approach for addressing the computational challenges posed by massive datasets. Substantial progress has been made in developing non-uniform, probability-based subsampling schemes that prioritize…
We present the Local Self-Balancing sampler (LSB), a local Markov Chain Monte Carlo (MCMC) method for sampling in purely discrete domains, which is able to autonomously adapt to the target distribution and to reduce the number of target…
A significant hurdle for analyzing large sample data is the lack of effective statistical computing and inference methods. An emerging powerful approach for analyzing large sample data is subsampling, by which one takes a random subsample…
While leverage score sampling provides powerful tools for approximating solutions to large least squares problems, the cost of computing exact scores and sampling often prohibits practical application. This paper addresses this challenge by…
Least squares Monte Carlo methods are a popular numerical approximation method for solving stochastic control problems. Based on dynamic programming, their key feature is the approximation of the conditional expectation of future rewards by…
The iteratively reweighted least squares method (IRLS) is a popular technique used in practice for solving regression problems. Various versions of this method have been proposed, but their theoretical analyses failed to capture the good…
We consider the problem of approximating a function in general nonlinear subsets of $L^2$ when only a weighted Monte Carlo estimate of the $L^2$-norm can be computed. Of particular interest in this setting is the concept of sample…
Importance sampling is a popular variance reduction method for Monte Carlo estimation, where a notorious question is how to design good proposal distributions. While in most cases optimal (zero-variance) estimators are theoretically…
This paper presents a novel Importance Sampling (IS) scheme for estimating distribution tails of performance measures modeled with a rich set of tools such as linear programs, integer linear programs, piecewise linear/quadratic objectives,…
We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…
Digital constellations formed by hexagonal or other non-square two-dimensional lattices are often used in advanced digital communication systems. The integrals required to evaluate the symbol error rate (SER) of these constellations in the…
We consider the exact path sampling of the squared Bessel process and some other continuous-time Markov processes, such as the CIR model, constant elasticity of variance diffusion model, and hypergeometric diffusions, which can all be…
Markov chain (MC) algorithms are ubiquitous in machine learning and statistics and many other disciplines. Typically, these algorithms can be formulated as acceptance rejection methods. In this work we present a novel estimator applicable…
Stochastic versions of recursive integrated climate-economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving…
In this article, we propose several quantization-based stratified sampling methods to reduce the variance of a Monte Carlo simulation. Theoretical aspects of stratification lead to a strong link between optimal quadratic quantization and…
Adaptive importance samplers are adaptive Monte Carlo algorithms to estimate expectations with respect to some target distribution which \textit{adapt} themselves to obtain better estimators over a sequence of iterations. Although it is…