Monte Carlo integration with a growing number of control variates.

François Portier Johan Segers

Published in: J. Appl. Probab. (2019)

Keyphrases

monte carlo
monte carlo simulation
markov chain
simulation study
importance sampling
monte carlo tree search
variance reduction
monte carlo method
stochastic approximation
control system
control strategy
control strategies
matrix inversion
monte carlo methods
markovian decision