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How to Deal with the Curse of Dimensionality of Likelihood Ratios in Monte Carlo Simulation
Cross-entropy Rare-event probability estimation Screening Simulation
2015/7/6
In this work we show how to resolve, at least partially, the curse of dimensionality of likelihood ratios (LRs) while using importance sampling (IS) to estimate the performance of high-dimensional Mon...
CURSE OF DIMENSIONALITY IN APPROXIMATION OF RANDOM FIELDS
Random fields Gaussian processes fractional Brownian sheet linear approximation error
2009/9/18
Consider a random field of tensor product-type X (t),
~ E [ O l, l d, given by
where ( A ( ~ ) i , 0 ~ 1 2 , is an orthonormal system in L, KO, 11 and
(tklkENd are non-correlated random variables w...
Escaping the curse of dimensionality with a tree-based regressor
curse dimensionality tree-based regressor
2010/3/18
We present the first tree-based regressorwhose convergence
rate depends only on the intrinsic dimension
of the data, namely its Assouad dimension.
The regressor uses the RPtree partitioning procedu...