An Efficient Algorithm for Accelerating Monte Carlo Approximations of the Solution to Boundary Value Problems.
Sara ManciniFrancisco BernalJuan A. AcebrónPublished in: J. Sci. Comput. (2016)
Keyphrases
- monte carlo
- optimal solution
- computational cost
- monte carlo simulation
- learning algorithm
- search space
- stochastic approximation
- markov chain
- matrix inversion
- policy evaluation
- importance sampling
- dynamic programming
- computational complexity
- simulated annealing
- worst case
- boundary conditions
- objective function
- linear programming
- expectation maximization
- sufficient conditions
- variance reduction
- np hard