Variance reduction for Fokker-Planck based particle Monte Carlo schemes.

M. Hossein Gorji Nemanja Andric Patrick Jenny

Published in: J. Comput. Phys. (2015)

Keyphrases

monte carlo
variance reduction
monte carlo method
monte carlo methods
importance sampling
markov chain
quasi monte carlo
monte carlo simulation
particle filter
monte carlo tree search
policy evaluation
machine learning
supervised learning