Unbiased Monte Carlo for optimization and functions of expectations via multi-level randomization.
Jose H. BlanchetPeter W. GlynnPublished in: WSC (2015)
Keyphrases
- monte carlo
- monte carlo methods
- markov chain
- monte carlo simulation
- importance sampling
- simulation study
- adaptive sampling
- stochastic approximation
- particle filter
- markovian decision
- optimal strategy
- monte carlo tree search
- temporal difference
- privacy preserving
- evolutionary algorithm
- combinatorial optimization
- state space
- matrix inversion
- dynamic programming
- point processes
- genetic algorithm