Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing.
Sebastian BeckerArnulf JentzenMarvin S. MüllerPhilippe von WurstembergerPublished in: CoRR (2022)
Keyphrases
- random variables
- stochastic gradient descent
- machine learning
- monte carlo simulation
- learning algorithm
- probability distribution
- supervised learning
- learning tasks
- learning problems
- active learning
- machine learning algorithms
- reinforcement learning
- step size
- random forests
- evolutionary algorithm
- least squares
- collaborative filtering
- graphical models
- semi supervised learning
- pairwise
- decision trees