Conditional Monte Carlo Estimation of Quantile Sensitivities.
Michael C. FuL. Jeff HongJian-Qiang HuPublished in: Manag. Sci. (2009)
Keyphrases
- monte carlo
- importance sampling
- monte carlo simulation
- markov chain
- markovian decision
- conditional probabilities
- monte carlo tree search
- monte carlo method
- particle filter
- adaptive sampling
- temporal difference
- monte carlo methods
- point processes
- variance reduction
- simulation study
- markov chain monte carlo
- maximum likelihood estimation