Multivariate estimation and variance reduction in terminating and steady-state simulation.
Wei-Ning YangBarry L. NelsonPublished in: WSC (1988)
Keyphrases
- variance reduction
- steady state simulation
- gradient estimation
- importance sampling
- monte carlo
- complex systems
- sample size
- bias variance decomposition
- parameter estimation
- quasi monte carlo
- machine learning
- kalman filter
- regression model
- confidence intervals
- maximum likelihood
- least squares
- computational complexity
- reinforcement learning