Monte Carlo Integration and Variance Reduction

2007 ◽  
pp. 135-168
1995 ◽  
Vol 25 (2) ◽  
pp. 253-260
Author(s):  
A.T. Wolf ◽  
T.E. Burk ◽  
J.G. Isebrands

Monte Carlo estimation is explored as an alternative to traditional survey sampling techniques to estimate both daily and seasonal whole-tree photosynthesis of first-year Populus clones. Several methods, known in the literature as variance-reduction techniques, are applied to the problem of estimation and compared on the basis of relative root mean squared error. Also of interest is gain in precision over the simple expansion estimator (Monte Carlo estimation in its simplest form). Variance reduction is achieved by approximating the photosynthesis curve by some known, easily integrated function. The estimators retain their unbiasedness regardless of the appropriateness of this function. The authors show how these variance reduction techniques can be used to achieve greater precision when estimating both daily and seasonal whole-tree photosynthesis. These methods may be useful alternatives to current purposive sampling methods that have the potential for bias and high error.


2003 ◽  
Vol 24 (3) ◽  
pp. 277-283 ◽  
Author(s):  
Genyuan Li ◽  
Herschel Rabitz ◽  
Sheng-Wei Wang ◽  
Panos G. Georgopoulos

2019 ◽  
Vol 56 (4) ◽  
pp. 1168-1186
Author(s):  
FranÇois Portier ◽  
Johan Segers

AbstractIt is well known that Monte Carlo integration with variance reduction by means of control variates can be implemented by the ordinary least squares estimator for the intercept in a multiple linear regression model. A central limit theorem is established for the integration error if the number of control variates tends to infinity. The integration error is scaled by the standard deviation of the error term in the regression model. If the linear span of the control variates is dense in a function space that contains the integrand, the integration error tends to zero at a rate which is faster than the square root of the number of Monte Carlo replicates. Depending on the situation, increasing the number of control variates may or may not be computationally more efficient than increasing the Monte Carlo sample size.


2018 ◽  
Vol 482 (6) ◽  
pp. 627-630
Author(s):  
D. Belomestny ◽  
◽  
L. Iosipoi ◽  
N. Zhivotovskiy ◽  
◽  
...  

Sign in / Sign up

Export Citation Format

Share Document