TY - GEN
T1 - Multilevel Monte Carlo metamodeling
AU - Rosenbaum, Imry
AU - Staum, Jeremy
PY - 2013
Y1 - 2013
N2 - Multilevel Monte Carlo (MLMC) methods have been used by the information-based complexity community in order to improve the computational efficiency of parametric integration. We extend this approach by relaxing the assumptions on differentiability of the simulation output. Relaxing the assumption on the differentiability of the simulation output makes the MLMC method more widely applicable to stochastic simulation metamodeling problems in industrial engineering. The proposed scheme uses a sequential experiment design which allocates effort unevenly among design points in order to increase its efficiency. The procedure's efficiency is tested on an example of option pricing in the Black-Scholes model.
AB - Multilevel Monte Carlo (MLMC) methods have been used by the information-based complexity community in order to improve the computational efficiency of parametric integration. We extend this approach by relaxing the assumptions on differentiability of the simulation output. Relaxing the assumption on the differentiability of the simulation output makes the MLMC method more widely applicable to stochastic simulation metamodeling problems in industrial engineering. The proposed scheme uses a sequential experiment design which allocates effort unevenly among design points in order to increase its efficiency. The procedure's efficiency is tested on an example of option pricing in the Black-Scholes model.
UR - http://www.scopus.com/inward/record.url?scp=84894126499&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84894126499&partnerID=8YFLogxK
U2 - 10.1109/WSC.2013.6721446
DO - 10.1109/WSC.2013.6721446
M3 - Conference contribution
AN - SCOPUS:84894126499
SN - 9781479939503
T3 - Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013
SP - 509
EP - 520
BT - Proceedings of the 2013 Winter Simulation Conference - Simulation
T2 - 2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013
Y2 - 8 December 2013 through 11 December 2013
ER -