Smoothed Monte Carlo estimators for the time-in-the-red in risk processes.
G. MakatisMichael A. ZazanisPublished in: Math. Methods Oper. Res. (2004)
Keyphrases
- monte carlo
- variance reduction
- risk measures
- monte carlo methods
- monte carlo simulation
- monte carlo tree search
- markov chain
- importance sampling
- confidence intervals
- conditional density estimation
- particle filter
- policy evaluation
- monte carlo method
- adaptive sampling
- stochastic approximation
- global illumination
- matrix inversion
- temporal difference
- simulation study
- markovian decision
- decision making
- game tree