Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities.
Christian BayerChiheb Ben HammoudaRaúl TemponePublished in: SIAM J. Sci. Comput. (2024)
Keyphrases
- monte carlo
- efficient computation
- quasi monte carlo
- markov chain
- probability distribution
- monte carlo simulation
- monte carlo tree search
- matrix inversion
- markovian decision
- importance sampling
- computational efficiency
- confidence intervals
- monte carlo methods
- adaptive sampling
- particle filter
- skyline queries
- variance reduction
- computationally efficient
- databases