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Optimization strategies for portable code for Monte Carlo-based value-at-risk systems.

Javier Alejandro VarelaClaus KestelChristian de SchryverNorbert WehnSascha DesmettreRalf Korn
Published in: WHPCF@SC (2015)
Keyphrases
  • monte carlo
  • optimization strategies
  • monte carlo simulation
  • markov chain
  • importance sampling
  • database
  • reinforcement learning
  • feature space
  • particle filter