Adaptive optimal allocation in stratified sampling methods

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dc.creatorEtore, Pierre
dc.creatorJourdain, Benjamin
dc.date2007-11-28
dc.date2007-11-30
dc.date.accessioned2026-07-07T08:46:41Z
dc.date.available2026-07-07T08:46:41Z
dc.descriptionIn this paper, we propose a stratified sampling algorithm in which the random drawings made in the strata to compute the expectation of interest are also used to adaptively modify the proportion of further drawings in each stratum. These proportions converge to the optimal allocation in terms of variance reduction. And our stratified estimator is asymptotically normal with asymptotic variance equal to the minimal one. Numerical experiments confirm the efficiency of our algorithm.
dc.identifierhttps://arxiv.org/abs/0711.4514
dc.identifierhttp://arxiv.org/abs/0711.4514
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/143330
dc.subjectMethodology
dc.subjectComputation
dc.titleAdaptive optimal allocation in stratified sampling methods
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