Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations.
Michael B. GilesChristopher LesterJames WhittlePublished in: MCQMC (2014)
Keyphrases
- monte carlo
- adaptive sampling
- markov chain
- monte carlo simulation
- importance sampling
- monte carlo tree search
- particle filter
- monte carlo methods
- simulation study
- matrix inversion
- variance reduction
- stochastic approximation
- temporal difference
- markovian decision
- monte carlo method
- learning algorithm
- random sampling
- probability distribution
- lower bound
- search algorithm