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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 (permanent link):urn:nbn:de:hbz:386-kluedo-49526
Serie (Series number):Interner Bericht des Fachbereich Informatik (300)
Document Type:Report
Language of publication:English
Publication Date:2017/10/26
Year of Publication:1999
Publishing Institute:Technische Universität Kaiserslautern
Date of the Publication (Server):2017/10/26
Number of page:16
Faculties / Organisational entities: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)