On the optimization of approximate control variates with parametrically defined estimators
Journal of Computational Physics(2022)
摘要
•Multi-model Monte Carlo methods, such as approximate control variates, can be used for estimator variance reduction.•The crux of the approximate control variates framework is sample allocation optimization.•Parametrically-defined approximate control variates are developed to improve sample allocation optimization.•Three newly defined estimators are developed and shown to improve variance reduction.
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关键词
Variance reduction,Monte Carlo,Control variates,Multifidelity modeling
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