 |
|
|
|
| HAL : hal-00192540, version 2 |
| arXiv : 0711.4514 |
| DOI : 10.1007/s11009-008-9108-0 |
| Fiche détaillée |  Récupérer au format |
|
|
| Methodology And Computing In Applied Probability 12, 3 (2010) 335-360 |
|
|
| Versions disponibles : | v1 (28-11-2007) | v2 (30-11-2007) |
|
|
|
|
| Adaptive optimal allocation in stratified sampling methods |
|
|
| Pierre Etore 1Benjamin Jourdain 1 |
|
|
| (09/2010) |
|
|
|
| In this paper, we propose a stratified sampling algorithm in which the random drawings made in the strata to compute the expectation of interest are also used to adaptively modify the proportion of further drawings in each stratum. These proportions converge to the optimal allocation in terms of variance reduction. And our stratified estimator is asymptotically normal with asymptotic variance equal to the minimal one. Numerical experiments confirm the efficiency of our algorithm. |
|
|
|
|
|
|
|
|
|
|
|
| 1 : | Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique (CERMICS) |
|
|
|
INRIA – Ecole des Ponts ParisTech |
|
|
|
|
|
|
|
|
|
| CERMICS, ENPC |
|
|
|
|
| Domaine | : | Statistiques/Méthodologie Statistiques/Calcul Mathématiques/Probabilités Statistiques/Théorie Mathématiques/Statistiques |
|
|
| adaptive Monte Carlo methods – stratified sampling – mathematical finance |
|
|
|
| Liste des fichiers attachés à ce document : | ||||||||||
|
||||||||||
|
|
|
| hal-00192540, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00192540 | |
| oai:hal.archives-ouvertes.fr:hal-00192540 | |
| Contributeur : Pierre Etore | |
| Soumis le : Vendredi 30 Novembre 2007, 13:44:03 | |
| Dernière modification le : Jeudi 21 Juillet 2011, 09:57:54 | |
