dc.contributor.author | Vihola, Matti | |
dc.date.accessioned | 2018-10-03T10:15:33Z | |
dc.date.available | 2018-10-03T10:15:33Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Vihola, M. (2018). Unbiased Estimators and Multilevel Monte Carlo. <i>Operations Research</i>, <i>66</i>(2), 448-462. <a href="https://doi.org/10.1287/opre.2017.1670" target="_blank">https://doi.org/10.1287/opre.2017.1670</a> | |
dc.identifier.other | CONVID_27812908 | |
dc.identifier.other | TUTKAID_76334 | |
dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/59752 | |
dc.description.abstract | Multilevel Monte Carlo (MLMC) and recently proposed unbiased estimators are closely related. This connection is elaborated by presenting a new general class of unbiased estimators, which admits previous debiasing schemes as special cases. New lower variance estimators are proposed, which are stratified versions of earlier unbiased schemes. Under general conditions, essentially when MLMC admits the canonical square root Monte Carlo error rate, the proposed new schemes are shown to be asymptotically as efficient as MLMC, both in terms of variance and cost. The experiments demonstrate that the variance reduction provided by the new schemes can be substantial. | fi |
dc.format.mimetype | application/pdf | |
dc.language.iso | eng | |
dc.publisher | Institute for Operations Research and the Management Sciences | |
dc.relation.ispartofseries | Operations Research | |
dc.rights | In Copyright | |
dc.subject.other | efficiency | |
dc.subject.other | multilevel Monte Carlo | |
dc.subject.other | stochastic differential equation | |
dc.subject.other | unbiased estimators | |
dc.title | Unbiased Estimators and Multilevel Monte Carlo | |
dc.type | article | |
dc.identifier.urn | URN:NBN:fi:jyu-201810034330 | |
dc.contributor.laitos | Matematiikan ja tilastotieteen laitos | fi |
dc.contributor.laitos | Department of Mathematics and Statistics | en |
dc.contributor.oppiaine | Tilastotiede | fi |
dc.contributor.oppiaine | Statistics | en |
dc.type.uri | http://purl.org/eprint/type/JournalArticle | |
dc.date.updated | 2018-10-03T09:15:41Z | |
dc.type.coar | http://purl.org/coar/resource_type/c_2df8fbb1 | |
dc.description.reviewstatus | peerReviewed | |
dc.format.pagerange | 448-462 | |
dc.relation.issn | 0030-364X | |
dc.relation.numberinseries | 2 | |
dc.relation.volume | 66 | |
dc.type.version | acceptedVersion | |
dc.rights.copyright | © 2017 INFORMS | |
dc.rights.accesslevel | openAccess | fi |
dc.relation.grantnumber | 284513 | |
dc.relation.grantnumber | 274740 | |
dc.subject.yso | Monte Carlo -menetelmät | |
dc.subject.yso | differentiaaliyhtälöt | |
dc.subject.yso | stokastiset prosessit | |
dc.subject.yso | kerrostuneisuus | |
dc.format.content | fulltext | |
jyx.subject.uri | http://www.yso.fi/onto/yso/p6361 | |
jyx.subject.uri | http://www.yso.fi/onto/yso/p3552 | |
jyx.subject.uri | http://www.yso.fi/onto/yso/p11400 | |
jyx.subject.uri | http://www.yso.fi/onto/yso/p12358 | |
dc.rights.url | http://rightsstatements.org/page/InC/1.0/?language=en | |
dc.relation.doi | 10.1287/opre.2017.1670 | |
dc.relation.funder | Suomen Akatemia | fi |
dc.relation.funder | Suomen Akatemia | fi |
dc.relation.funder | Academy of Finland | en |
dc.relation.funder | Academy of Finland | en |
jyx.fundingprogram | Akatemiatutkijan tutkimuskulut, SA | fi |
jyx.fundingprogram | Akatemiatutkija, SA | fi |
jyx.fundingprogram | Research costs of Academy Research Fellow, AoF | en |
jyx.fundingprogram | Academy Research Fellow, AoF | en |
dc.type.okm | A1 | |