Asymptotic Properties of Monte Carlo Estimators of Derivatives.
Jérôme DetempleRené GarciaMarcel RindisbacherPublished in: Manag. Sci. (2005)
Keyphrases
- monte carlo
- asymptotic properties
- fixed point
- higher order
- importance sampling
- monte carlo simulation
- monte carlo methods
- stochastic approximation
- markov chain
- particle filter
- markovian decision
- simulation study
- monte carlo tree search
- temporal difference
- adaptive sampling
- variance reduction
- global illumination
- policy evaluation
- matrix inversion
- dynamic programming
- markov chain monte carlo
- optimal strategy
- computational cost