16 citations · 43 across the 8 of their papers we have counts for
8 papers
Simulating Gaussian vectors via randomized dimension reduction and PCA
Nabil Kahale
We study the problem of estimating E(g(X)), where g is a real-valued function of d variables and X is a d-dimensional Gaussian vector with a given covariance matrix. We present a n…
Unbiased time-average estimators for Markov chains
Nabil Kahale
We consider a time-average estimator of a functional of a Markov chain. Under a coupling assumption, we show that the expectation of has a limit as the number o…
Improved SVRG for quadratic functions
Nabil Kahale
We analyse an iterative algorithm to minimize quadratic functions whose Hessian matrix is the expectation of a random symmetric matrix. The algorithm is a variant o…
Optimal unbiased estimators via convex hulls
Nabil Kahale
Necessary and sufficient conditions for the square-integrability of recently proposed unbiased estimators are established. A geometric characterization of a distribution that optim…
General multilevel Monte Carlo methods for pricing discretely monitored Asian options
Nabil Kahale
We describe general multilevel Monte Carlo methods that estimate the price of an Asian option monitored at fixed dates. Our approach yields unbiased estimators with standard de…
Randomized Dimension Reduction for Monte Carlo Simulations
Nabil Kahale
We present a new unbiased algorithm that estimates the expected value of f(U) via Monte Carlo simulation, where U is a vector of d independent random variables, and f is a function…