Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations.
Annika LangAndreas PeterssonPublished in: Math. Comput. Simul. (2018)
Keyphrases
- monte carlo
- variance reduction
- simulation study
- monte carlo simulation
- policy evaluation
- markov chain
- importance sampling
- matrix inversion
- monte carlo methods
- monte carlo tree search
- stochastic approximation
- adaptive sampling
- global illumination
- upper bound
- monte carlo method
- temporal difference
- optimal strategy
- particle filter
- confidence intervals
- computational cost
- markovian decision