RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB
General information
Latest issue
Archive
Impact factor
Subscription

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Sib. Zh. Vychisl. Mat.:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Sib. Zh. Vychisl. Mat., 1999, Volume 2, Number 1, Pages 57–67 (Mi sjvm324)  

This article is cited in 2 scientific papers (total in 2 papers)

On convergence and optimization of functional Monte Carlo estimators in Sobolev spaces

S. M. Prigarin

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences, Novosibirsk

Abstract: The paper deals with the study of convergence and optimization of unbiased functional Monte Carlo estimators. We have obtained the estimators, that are optimal in Sobolev's Hilbert spaces, for calculating the integrals dependent on a parameter and for calculating the families of functionals of the solution to the integral equation of the second kind. The results have been obtained in the context of the new concept proposed by the author in order to compare the efficiency of functional estimators in Monte Carlo methods. New conditions of estimators convergence in the space of continuous functions have been proved.

Full text: PDF file (582 kB)
References: PDF file   HTML file

Bibliographic databases:
UDC: 519.6
Received: 07.09.1998

Citation: S. M. Prigarin, “On convergence and optimization of functional Monte Carlo estimators in Sobolev spaces”, Sib. Zh. Vychisl. Mat., 2:1 (1999), 57–67

Citation in format AMSBIB
\Bibitem{Pri99}
\by S.~M.~Prigarin
\paper On convergence and optimization of functional Monte Carlo estimators in Sobolev spaces
\jour Sib. Zh. Vychisl. Mat.
\yr 1999
\vol 2
\issue 1
\pages 57--67
\mathnet{http://mi.mathnet.ru/sjvm324}
\zmath{https://zbmath.org/?q=an:0917.65110}


Linking options:
  • http://mi.mathnet.ru/eng/sjvm324
  • http://mi.mathnet.ru/eng/sjvm/v2/i1/p57

    SHARE: VKontakte.ru FaceBook Twitter Mail.ru Livejournal Memori.ru


    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. G. A. Mikhailov, I. N. Medvedev, “Vector estimators of the Monte Carlo method: dual representation and optimization”, Num. Anal. Appl., 3:4 (2010), 344–356  mathnet  crossref
    2. E. V. Shkarupa, “Comparison of approaches to optimization of functional statistical modeling algorithms in the metric of the space $\mathbf C$”, Num. Anal. Appl., 8:2 (2015), 182–194  mathnet  crossref  crossref  mathscinet  elib
  • Sibirskii Zhurnal Vychislitel'noi Matematiki
    Number of views:
    This page:201
    Full text:78
    References:21

     
    Contact us:
     Terms of Use  Registration  Logotypes © Steklov Mathematical Institute RAS, 2020