Convergence issues in derivatives of Monte Carlo null-collision integral formulations: A solution.
Jean-Marc TreganStéphane BlancoJérémi DauchetMouna El HafiR. FournierL. IbarrartP. LapeyreN. VillefranquePublished in: J. Comput. Phys. (2020)
Keyphrases
- monte carlo
- stochastic approximation
- importance sampling
- monte carlo simulation
- matrix inversion
- monte carlo tree search
- markov chain
- higher order
- monte carlo methods
- markovian decision
- adaptive sampling
- optimal strategy
- particle filter
- simulation study
- variance reduction
- temporal difference
- policy evaluation
- convergence speed
- simulated annealing
- optimal solution