Monte Carlo estimators for small sensitivity indices.
Ilya M. SobolE. E. MyshetskayaPublished in: Monte Carlo Methods Appl. (2008)
Keyphrases
- monte carlo
- variance reduction
- monte carlo simulation
- markov chain
- importance sampling
- confidence intervals
- adaptive sampling
- monte carlo methods
- conditional density estimation
- simulation study
- monte carlo tree search
- monte carlo method
- policy evaluation
- particle filter
- stochastic approximation
- matrix inversion
- temporal difference
- optimal strategy
- markovian decision
- point processes
- game tree
- reinforcement learning
- lower bound
- feature space