On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs.
Alexander ShapiroTito Homem-de-MelloPublished in: SIAM J. Optim. (2000)
Keyphrases
- monte carlo
- stochastic approximation
- optimal solution
- markov chain
- policy evaluation
- variance reduction
- particle filter
- importance sampling
- monte carlo simulation
- monte carlo methods
- convergence rate
- monte carlo tree search
- matrix inversion
- convergence speed
- adaptive sampling
- temporal difference
- np hard
- search space
- simulation study
- markov chain monte carlo
- objective function
- monte carlo method
- linear programming
- least squares
- lower bound
- markovian decision
- branch and bound