Lecture

Stochastic Simulation: Variance Reduction Techniques

In course

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Description

This lecture covers stochastic simulation and variance reduction techniques, focusing on Courra variate and auxiliary distribution generation. It discusses the outcome of stochastic models, assumptions, and the idea behind generating auxiliary distributions. The instructor explains the importance of transition kernels and drift changes for stochastic processes.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_51neprs8

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Ontological neighbourhood

Computer engineering

Computer networks: Internet browsing

Statistics

Statistical inference: Mathematical statistics

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