Related papers: Point Process-based Monte Carlo estimation
We develop a pure Monte Carlo method to compute $E(g(X_T))$ where $g$ is a bounded and Lipschitz function and $X_t$ an Ito process. This approach extends a previously proposed method to the general multidimensional case with a SDE with…
We present a new unbiased algorithm that estimates the expected value of f(U) via Monte Carlo simulation, where U is a vector of d independent random variables, and f is a function of d variables. We assume that f does not depend equally on…
We consider estimating an expected infinite-horizon cumulative discounted cost/reward contingent on an underlying stochastic process by Monte Carlo simulation. An unbiased estimator based on truncating the cumulative cost at a random…
We study the problem of estimating E(g(X)), where g is a real-valued function of d variables and X is a d-dimensional Gaussian vector with a given covariance matrix. We present a new unbiased estimator for E(g(X)) that combines the…
This work introduces and compares approaches for estimating rare-event probabilities related to the number of edges in the random geometric graph on a Poisson point process. In the one-dimensional setting, we derive closed-form expressions…
In this review, we address the use of Monte Carlo methods for approximating definite integrals of the form $Z = \int L(x) d P(x)$, where $L$ is a target function (often a likelihood) and $P$ a finite measure. We present vertical-likelihood…
We study stochastic gradient descent for solving conditional stochastic optimization problems, in which an objective to be minimized is given by a parametric nested expectation with an outer expectation taken with respect to one random…
Given a smooth function $f$, we develop a general approach to turn Monte Carlo samples with expectation $m$ into an unbiased estimate of $f(m)$. Specifically, we develop estimators that are based on randomly truncating the Taylor series…
Estimating nested expectations is an important task in computational mathematics and statistics. In this paper we propose a new Monte Carlo method using post-stratification to estimate nested expectations efficiently without taking samples…
Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tune the optimal change of measure in the context of…
Consider a process, stochastic or deterministic, obtained by using a numerical integration scheme, or from Monte-Carlo methods involving an approximation to an integral, or a Newton-Raphson iteration to approximate the root of an equation.…
We present two data-driven methods for estimating reachable sets with probabilistic guarantees. Both methods make use of a probabilistic formulation allowing for a formal definition of a data-driven reachable set approximation that is…
The problem of estimating the probability p=P(g(X<0) is considered when X represents a multivariate stochastic input of a monotone function g. First, a heuristic method to bound p is formally described, involving a specialized design of…
Approximate inference in probabilistic graphical models (PGMs) can be grouped into deterministic methods and Monte-Carlo-based methods. The former can often provide accurate and rapid inferences, but are typically associated with biases…
Importance sampling has been known as a powerful tool to reduce the variance of Monte Carlo estimator for rare event simulation. Based on the criterion of minimizing the variance of Monte Carlo estimator within a parametric family, we…
Monte Carlo and Quasi-Monte Carlo methods present a convenient approach for approximating the expected value of a random variable. Algorithms exist to adaptively sample the random variable until a user defined absolute error tolerance is…
In predictive modeling with simulation or machine learning, it is critical to accurately assess the quality of estimated values through output analysis. In recent decades output analysis has become enriched with methods that quantify the…
Bayesian optimization through Gaussian process regression is an effective method of optimizing an unknown function for which every measurement is expensive. It approximates the objective function and then recommends a new measurement point…
In this study, we give an extension of Montanaro's arXiv/archive:1504.06987 quantum Monte Carlo method, tailored for computing expected values of random variables that exhibit infinite variance. This addresses a challenge in analyzing…
Computing the variance of a conditional expectation has often been of importance in uncertainty quantification. Sun et al. has introduced an unbiased nested Monte Carlo estimator, which they call $1\frac{1}{2}$-level simulation since the…