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» Stochastic Model Checking
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122
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WSC
2004
15 years 6 months ago
Experimental Performance Evaluation of Histogram Approximation for Simulation Output Analysis
We summarize the results of an experimental performance evaluation of using an empirical histogram to approximate the steady-state distribution of the underlying stochastic proces...
E. Jack Chen, W. David Kelton
WSC
2004
15 years 6 months ago
Adaptive Control Variates
Adaptive Monte Carlo methods are specialized Monte Carlo simulation techniques where the methods are adaptively tuned as the simulation progresses. The primary focus of such techn...
Sujin Kim, Shane G. Henderson
WSC
2004
15 years 6 months ago
Quasi-Monte Carlo Methods in Finance
We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variancereduction techniques, and the main classes of constructions under...
Pierre L'Ecuyer
145
Voted
WSC
1997
15 years 6 months ago
Optimal Quadratic-Form Estimator of the Variance of the Sample Mean
A classical problem of stochastic simulation is how to estimate the variance of the sample mean of dependent but stationary outputs. Many variance estimators, such as the batch me...
Wheyming Tina Song, Neng-Hui Shih, Mingjian Yuan
AAAI
1996
15 years 6 months ago
Learning to Take Actions
We formalize a model for supervised learning of action strategies in dynamic stochastic domains and show that PAC-learning results on Occam algorithms hold in this model as well. W...
Roni Khardon