Monte Carlo efficiency improvement by multiple sampling of conditioned integration variables.
Sebastian WeitzStéphane BlancoJulien CharonJérémi DauchetMouna El HafiVincent EymetOlivier FargesRichard FournierJacques GautraisPublished in: J. Comput. Phys. (2016)
Keyphrases
- monte carlo
- importance sampling
- adaptive sampling
- monte carlo simulation
- monte carlo methods
- simulation study
- monte carlo tree search
- markovian decision
- markov chain
- quasi monte carlo
- particle filter
- optimal strategy
- markov chain monte carlo
- computational complexity
- variance reduction
- monte carlo method
- stochastic approximation
- temporal difference
- matrix inversion
- continuous variables
- variable selection
- dynamic programming