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Scalable Control Variates for Monte Carlo Methods via Stochastic Optimization.
Shijing Si
Chris J. Oates
Andrew B. Duncan
Lawrence Carin
François-Xavier Briol
Published in:
CoRR (2020)
Keyphrases
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stochastic optimization
monte carlo methods
monte carlo
multistage
bayesian networks
artificial intelligence
dynamic programming
simulated annealing
principal components
robust optimization