Improving the Monte Carlo estimation of boundary crossing probabilities by control variables.
Klaus PötzelbergerPublished in: Monte Carlo Methods Appl. (2012)
Keyphrases
- monte carlo
- importance sampling
- monte carlo simulation
- markov chain
- monte carlo methods
- control system
- markovian decision
- adaptive sampling
- monte carlo tree search
- stochastic approximation
- variance reduction
- particle filter
- temporal difference
- matrix inversion
- least squares
- conditional probabilities
- point processes
- dynamic programming
- control strategies
- simulation study
- optimal control
- policy evaluation
- game tree search
- reinforcement learning
- computational cost
- random variables
- markov chain monte carlo
- optimal strategy
- variable selection