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Variance reduction in sample approximations of stochastic programs.

Matti Koivu
Published in: Math. Program. (2005)
Keyphrases
  • variance reduction
  • sample size
  • gradient estimation
  • monte carlo
  • random numbers
  • bias variance decomposition
  • model selection
  • quasi monte carlo
  • confidence intervals
  • importance sampling
  • hyperparameters
  • markov chain