Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices.
Paul MycekMatthias De LozzoPublished in: SIAM/ASA J. Uncertain. Quantification (2019)
Keyphrases
- monte carlo
- importance sampling
- monte carlo simulation
- matrix inversion
- markov chain
- monte carlo methods
- simulation study
- adaptive sampling
- monte carlo tree search
- stochastic approximation
- variance reduction
- markovian decision
- optimal strategy
- particle filter
- global illumination
- temporal difference learning
- maximum likelihood estimation
- function approximation
- point processes