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A framework for adaptive Monte-Carlo procedures
adaptive Monte-Carlo procedures reduction techniques
2010/4/27
Adaptive Monte Carlo methods are powerful variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adaptive importance sam...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model Markov Chain Monte Carlo Bayesian Inference Financial Data Analysis
2010/4/27
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
计算积和式的分层Monte-Carlo方法
Monte-Carlo方法 分层 积和式
2009/10/26
It is proved that the computation of permanent is #P-hard even for 0-1 matrix. Hence approximate algorithms are the right choice. Permanent computation for general matrix is discussed in this paper. T...