相关论文: Statistical Romberg extrapolation: A new variance …

We present new algorithms for estimating and testing \emph{collision probability}, a fundamental measure of the spread of a discrete distribution that is widely used in many scientific fields. We describe an algorithm that satisfies…

In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the…

We introduce a class of Monte Carlo estimators that aim to overcome the rapid growth of variance with dimension often observed for standard estimators by exploiting the target's independence structure. We identify the most basic…

This paper is concerned with the adaptive numerical treatment of stochastic partial differential equations. Our method of choice is Rothe's method. We use the implicit Euler scheme for the time discretization. Consequently, in each step, an…

This paper focuses on the study of an original combination of the Multilevel Monte Carlo method introduced by Giles [10] and the popular importance sampling technique. To compute the optimal choice of the parameter involved in the…

We study the problem of reducing the variance of Monte Carlo estimators through performing suitable changes of the sampling measure which are induced by feedforward neural networks. To this end, building on the concept of vector stochastic…

Estimating predictive uncertainty is crucial for many computer vision tasks, from image classification to autonomous driving systems. Hamiltonian Monte Carlo (HMC) is an sampling method for performing Bayesian inference. On the other hand,…

Monte Carlo methods represent a cornerstone of computer science. They allow to sample high dimensional distribution functions in an efficient way. In this paper we consider the extension of Automatic Differentiation (AD) techniques to Monte…

We develop approximate estimation methods for exponential random graph models (ERGMs), whose likelihood is proportional to an intractable normalizing constant. The usual approach approximates this constant with Monte Carlo simulations,…

Relative error estimation has been recently used in regression analysis. A crucial issue of the existing relative error estimation procedures is that they are sensitive to outliers. To address this issue, we employ the $\gamma$-likelihood…

We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…

The multi-level Monte Carlo method proposed by M. Giles (2008) approximates the expectation of some functionals applied to a stochastic process with optimal order of convergence for the mean-square error. In this paper, a modified…

Linear regression with normally distributed errors - including particular cases such as ANOVA, Student's t-test or location-scale inference - is a widely used statistical procedure. In this case the ordinary least squares estimator…

Monte Carlo estimation in plays a crucial role in stochastic reaction networks. However, reducing the statistical uncertainty of the corresponding estimators requires sampling a large number of trajectories. We propose control variates…

We propose a straightforward and effective method for discretizing multi-dimensional diffusion processes as an extension of Milstein scheme. The new scheme is explicitly given and can be simulated using Gaussian variates, requiring the same…

We present a novel technique of Monte Carlo error reduction that finds direct application in option pricing and Greeks estimation. The method is applicable to any LSV modelling framework and concerns a broad class of payoffs, including…

It is often necessary to make sampling-based statistical inference about many probability distributions in parallel. Given a finite computational resource, this article addresses how to optimally divide sampling effort between the samplers…

This is the second part of study on the optimal convergence rate of the explicit Euler discretization in time for the convection-diffusion equations [Appl. Math. Lett. \textbf{131} (2022) 108048] which focuses on high-dimensional…

We propose an extrapolation method utilizing energy variance in the Monte Carlo shell model in order to estimate the energy eigenvalue and observables accurately. We derive a formula for the energy variance with deformed Slater…

Monte Carlo is a simple and flexible tool that is widely used in computational finance. In this context, it is common for the quantity of interest to be the expected value of a random variable defined via a stochastic differential equation.…