The Multilevel Method of Dependent Tests
- Approximation properties of the underlying estimator are used to improve the efficiency of the method of dependent tests. A multilevel approximation procedure is developed such that in each level the number of samples is balanced with the level-dependent variance, resulting in a considerable reduction of the overall computational cost. The new technique is applied to the Monte Carlo estimation of integrals depending on a parameter.
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| Author: | Stefan Heinrich |
|---|---|
| URN: | urn:nbn:de:hbz:386-kluedo-49526 |
| Series (Serial Number): | Interner Bericht des Fachbereich Informatik (300) |
| Document Type: | Report |
| Language of publication: | English |
| Date of Publication (online): | 2017/10/26 |
| Year of first Publication: | 1999 |
| Publishing Institution: | Technische Universität Kaiserslautern |
| Date of the Publication (Server): | 2017/10/26 |
| Page Number: | 16 |
| Faculties / Organisational entities: | Kaiserslautern - Fachbereich Informatik |
| DDC-Cassification: | 0 Allgemeines, Informatik, Informationswissenschaft / 004 Informatik |
| Licence (German): |  Creative Commons 4.0 - Namensnennung, nicht kommerziell, keine Bearbeitung (CC BY-NC-ND 4.0) |