Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation.

Reiichiro Kawai

Published in: SIAM J. Numer. Anal. (2008)

Keyphrases

importance sampling
stochastic approximation
monte carlo
search algorithm
markov chain
search space
particle filter
kalman filter
objective function
learning algorithm
reinforcement learning
optimal solution
dynamic programming
simulated annealing
particle filtering
approximate inference