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Policy Gradient Optimal Correlation Search for Variance Reduction in Monte Carlo simulation and Maximum Optimal Transport.

Pierre BrasGilles Pagès
Published in: CoRR (2023)
Keyphrases
  • monte carlo simulation
  • variance reduction
  • monte carlo
  • dynamic programming
  • worst case
  • policy gradient
  • objective function
  • lower bound
  • probability distribution
  • supervised learning