Abstract:We consider a class of parametric estimation problems where the goal is efficient estimation of a quantity of interest for many instances that differ in some model or decision parameters. We have proposed an approach, called DataBase Monte Carlo (DBMC), that uses variance reduction techniques in a "constructive" way in this setting: Information is gathered through sampling at a set of parameter values and is used to construct effective variance reducing algorithms when estimating at other parameters. We have u… Show more
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