Large Sample Properties of Weighted Monte Carlo Estimators.

Paul Glasserman Bin Yu

Published in: Oper. Res. (2005)

Keyphrases

monte carlo
importance sampling
variance reduction
monte carlo simulation
markov chain
variance estimator

conditional density estimation
confidence intervals
monte carlo methods
simulation study
monte carlo tree search
policy evaluation

particle filter
monte carlo method
optimal strategy
adaptive sampling
matrix inversion

global illumination
markovian decision
sample size
genetic algorithm
temporal difference