Practical Variance Reduction via Regression for Simulating Diffusions.

G. N. Milstein Michael V. Tretyakov

Published in: SIAM J. Numer. Anal. (2009)

Keyphrases

variance reduction
gradient estimation
sample size
monte carlo
regression model
importance sampling
model selection
regression problems
random numbers
bias variance decomposition
generative model
naive bayes classifier
quasi monte carlo