Utilizing Intel Advanced Vector Extensions for Monte Carlo Simulation based Value at Risk Computation.
D. N. S. S. LiyanageG. V. M. P. A. FernandoD. D. M. M. ArachchiR. D. D. T. KarunathilakaA. S. PereraPublished in: ICCS (2017)
Keyphrases
- monte carlo
- matrix inversion
- importance sampling
- markov chain
- monte carlo simulation
- monte carlo methods
- stochastic approximation
- monte carlo tree search
- simulation study
- adaptive sampling
- monte carlo method
- point processes
- temporal difference
- feature vectors
- variance reduction
- game tree
- markov chain monte carlo
- particle filter
- genetic algorithm