Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling.
Neil K. ChadaHåkon HoelAjay JasraGeorgios E. ZourarisPublished in: CoRR (2021)
Keyphrases
- monte carlo
- monte carlo methods
- monte carlo simulation
- markov chain
- stochastic approximation
- point processes
- adaptive sampling
- simulation study
- importance sampling
- partial differential equations
- monte carlo method
- optimal strategy
- markovian decision
- matrix inversion
- particle filter
- temporal difference
- game tree
- level set
- monte carlo tree search
- computational complexity
- genetic algorithm
- anisotropic diffusion
- game tree search
- kalman filter
- policy evaluation
- dynamic programming
- active learning
- image processing