Relationship between least squares Monte Carlo and approximate linear programming.
Selvaprabu NadarajahNicola SecomandiPublished in: Oper. Res. Lett. (2017)
Keyphrases
- monte carlo
- policy evaluation
- linear programming
- least squares
- linear program
- markov chain
- temporal difference
- matrix inversion
- monte carlo methods
- monte carlo tree search
- particle filter
- importance sampling
- monte carlo simulation
- simulation study
- adaptive sampling
- monte carlo method
- variance reduction
- stochastic approximation
- dynamic programming
- point processes
- markovian decision
- parameter estimation
- np hard
- objective function
- particle filtering
- quasi monte carlo
- global illumination
- policy iteration
- learning algorithm
- optical flow
- computational complexity
- optimal solution
- reinforcement learning