Fast Randomized Iteration: Diffusion Monte Carlo through the Lens of Numerical Linear Algebra.
Lek-Heng LimJonathan WearePublished in: SIAM Rev. (2017)
Keyphrases
- monte carlo
- linear algebra
- quasi monte carlo
- numerical methods
- markov chain
- variance reduction
- monte carlo simulation
- particle filter
- image processing
- singular value decomposition
- importance sampling
- computer architecture
- point processes
- monte carlo methods
- matrix inversion
- monte carlo tree search
- adaptive sampling
- sparse matrices
- markovian decision
- machine learning
- temporal difference
- radon transform
- state space
- high resolution