Hedging direct simulation Monte Carlo bets via event splitting.
Georgii OblapenkoDavid GoldsteinPhilip VargheseC. MoorePublished in: J. Comput. Phys. (2022)
Keyphrases
- monte carlo
- monte carlo simulation
- monte carlo method
- simulation study
- markov chain
- importance sampling
- monte carlo methods
- monte carlo tree search
- particle filter
- adaptive sampling
- stochastic approximation
- matrix inversion
- markovian decision
- variance reduction
- game tree search
- point processes
- global illumination
- learning algorithm
- markov chain monte carlo
- search algorithm