Multifidelity Monte Carlo Estimation of Variance and Sensitivity Indices.
Elizabeth QianBenjamin PeherstorferDaniel O'MalleyVelimir V. VesselinovKaren WillcoxPublished in: SIAM/ASA J. Uncertain. Quantification (2018)
Keyphrases
- monte carlo
- importance sampling
- monte carlo simulation
- variance reduction
- markov chain
- markovian decision
- adaptive sampling
- monte carlo methods
- monte carlo tree search
- monte carlo method
- particle filter
- simulation study
- stochastic approximation
- point processes
- optimal solution
- game tree search
- optimal strategy
- game tree
- genetic algorithm
- maximum likelihood estimation
- estimation error
- computational cost
- lower bound
- learning algorithm