Bayesian methodsBayesian / computational
多层蒙特卡洛模拟
多层蒙特卡洛（MLMC）是一种方差缩减技术，它通过结合在多个数值分辨率级别上运行的模拟来估计期望值。粗略、廉价的模拟捕捉了大部分信号；精细、昂贵的模拟仅修正剩余的微小差异——与仅使用最精细级别的标准蒙特卡洛相比，大大降低了总计算成本。
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来源
- Giles, M. B. (2008). Multilevel Monte Carlo path simulation. Operations Research, 56(3), 607–617. DOI: 10.1287/opre.1070.0496 ↗
- Giles, M. B. (2015). Multilevel Monte Carlo methods. Acta Numerica, 24, 259–328. DOI: 10.1017/s096249291500001x ↗
如何引用本页
ScholarGate. (2026, June 3). Multilevel Monte Carlo Simulation. ScholarGate. https://scholargate.app/zh/bayesian/multilevel-monte-carlo-simulation
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