Variance reduced Monte Carlo methods for PDEs.

被引：0
|
作者：
Newton, NJ
机构：
来源：
ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND MECHANIK | 1996年 / 76卷
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暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Optimal control variates within parametric classes are developed, which can be used with stochastic representation formulae of the Feynman-Kac type to yield variance reduced Monte Carlo methods for a class of parabolic partial differential equations; these include equations with variable coefficients. The technique involves an initial, auxilliary simulation to estimate the optimal values of a set of parameters. Once these have been estimated, the optimal control variate can be simulated jointly with the basic variate with little extra computation.
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页码：327 / 330
页数：4
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