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Approximating Martingales for Variance Reduction in Markov Process Simulation
Variance reduction Markov process simulation martingale
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2015/7/8
“Knowledge of either analytical or numerical approximations should enable more efficient simulation estimators to be constructed.” This principle seems intuitively plausible and certainly attractive, ...
Multifidelity variance reduction for pick-freeze Sobol index estimation
Multifidelity variance reduction pick-freeze Sobol index estimation
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2013/4/28
Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variabilit...
Variance reduction for particle filters of systems with time-scale separation
particle filter multiscale dimensional reduction variance reduction Rao-Blackwellization stochastic differential equations jump Markov processes
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2010/4/29
We present a particle filter construction for a system
that exhibits time scale separation. The separation of time
scales allows two simplifications that we exploit: i) the use
of the averaging pri...