On the optimal design of the randomized unbiased Monte Carlo estimators.
Zhenyu CuiChihoon LeeLingjiong ZhuYunfan ZhuPublished in: Oper. Res. Lett. (2021)
Keyphrases
- optimal design
- monte carlo
- variance reduction
- quasi monte carlo
- low variance
- conditional density estimation
- confidence intervals
- markov chain
- monte carlo simulation
- importance sampling
- policy evaluation
- monte carlo tree search
- particle filter
- adaptive sampling
- water supply
- simulation study
- monte carlo method
- monte carlo methods
- stochastic approximation
- markovian decision
- machine learning
- point processes
- temporal difference
- matrix inversion
- optimal strategy