A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion.
Yusuke OkanoToshihiro YamadaPublished in: Monte Carlo Methods Appl. (2019)
Keyphrases
- error rate
- preprocessing
- sensitivity analysis
- high precision
- significant improvement
- mathematical model
- high accuracy
- neural network
- approximation error
- relative error
- importance sampling
- frequency domain
- segmentation algorithm
- computational complexity
- objective function
- similarity measure
- mobile robot
- clustering method
- control system
- artificial neural networks
- reinforcement learning
- prediction error
- genetic algorithm
- data sets
- approximation methods
- iterative refinement
- error accumulation