Sampling Techniques · Winter 2011/2012 MS&E348/Infanger 9 . Variance reduction techniques •...
Transcript of Sampling Techniques · Winter 2011/2012 MS&E348/Infanger 9 . Variance reduction techniques •...
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Sampling Techniques
MS&E348 Winter 2011/2012
Professor Gerd Infanger
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Multidimensional integration
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Monte Carlo methods
• Monte Carlo Methods are promising for multidimensional integration • For example, determine the average height of a board:
v1
v2
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Crude Monte-Carlo
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Motivational example: importance sampling
v1
v2
F1 F2
F = F1 + F2
z1, assume z2 = 0
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Variance reduction techniques
• Stratified sampling • Importance sampling • Control variates • Antithetic variates
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Importance sampling
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The best importance distribution
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Additive and multiplicative approximation functions
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Multiplicative marginal cost model
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Variance Estimation
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Additive marginal cost model
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Sample size and variance
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Control variates
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Variance estimation
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Approximation functions
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