Multi-index Monte Carlo: when sparsity meets sampling.
Abdul-Lateef Haji-AliFabio NobileRaúl TemponePublished in: Numerische Mathematik (2016)
Keyphrases
- monte carlo
- importance sampling
- adaptive sampling
- monte carlo simulation
- markov chain
- simulation study
- particle filter
- monte carlo methods
- high dimensional
- stochastic approximation
- global illumination
- markovian decision
- optimal strategy
- markov chain monte carlo
- point processes
- temporal difference
- matrix inversion
- parameter estimation
- graphical models