Improved Efficiency of Multilevel Monte Carlo for Stochastic PDE through Strong Pairwise Coupling.
Neil K. ChadaHåkon HoelAjay JasraGeorgios E. ZourarisPublished in: J. Sci. Comput. (2022)
Keyphrases
- monte carlo
- markov chain
- monte carlo simulation
- monte carlo methods
- point processes
- particle filter
- monte carlo tree search
- stochastic approximation
- importance sampling
- partial differential equations
- simulation study
- adaptive sampling
- variance reduction
- optimal strategy
- markovian decision
- probabilistic model
- monte carlo method
- temporal difference