Adaptive Optimal Allocation in Stratified Sampling Methods
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11009-008-9108-0.pdf
Reference5 articles.
1. Arouna B (2004) Adaptative Monte Carlo method, a variance reduction technique. Monte Carlo Methods Appl 10(1):1–24
2. Cannamela C, Garnier J, Looss B (2008) Controlled stratification for quantile estimation. Ann Appl Stat. arXiv:0802.2426
3. Glasserman P (2004) Monte Carlo methods in financial engineering. Springer, New York
4. Glasserman P, Heidelberger P, Shahabuddin P (1999) Asymptotic optimal importance sampling and stratification for pricing path-dependent options. Math Financ 9(2):117–152
5. Pedregal P (2004) Introduction to optimization. Springer, Berlin
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