Performance continuity and differentiability in Monte Carlo optimization.
Paul GlassermanPublished in: WSC (1988)
Keyphrases
- monte carlo
- monte carlo methods
- monte carlo simulation
- importance sampling
- adaptive sampling
- markov chain
- simulation study
- particle filter
- monte carlo tree search
- monte carlo method
- temporal difference
- optimal strategy
- sufficient conditions
- variance reduction
- stochastic approximation
- markovian decision
- matrix inversion