Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata

@article{Kawai2010AsymptoticallyOA,
  title={Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata},
  author={Reiichiro Kawai},
  journal={ACM Trans. Model. Comput. Simul.},
  year={2010},
  volume={20},
  pages={9:1-9:17}
}
To enhance efficiency in Monte Carlo simulations, we develop an adaptive stratified sampling algorithm for allocation of sampling effort within each stratum, in which an adaptive variance reduction technique is applied. Given the number of replications in each batch, our algorithm updates allocation fractions to minimize the work-normalized variance of the stratified estimator of the mean. We establish the asymptotic normality of the stratified estimator of the mean as the number of batches… CONTINUE READING

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