Optimal randomized multilevel Monte Carlo for repeatedly nested expectations.
Yasa SyedGuanyang WangPublished in: ICML (2023)
Keyphrases
- monte carlo
- optimal strategy
- quasi monte carlo
- monte carlo simulation
- markov chain
- importance sampling
- markovian decision
- adaptive sampling
- matrix inversion
- simulation study
- stochastic approximation
- monte carlo tree search
- monte carlo methods
- point processes
- markov chain monte carlo
- monte carlo method
- dynamic programming
- optimal solution
- decision problems
- uct algorithm
- lower bound