A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes.
Annika LangPublished in: MCQMC (2014)
Keyphrases
- monte carlo
- convergence rate
- monte carlo methods
- learning rate
- monte carlo simulation
- step size
- importance sampling
- convergence speed
- markov chain
- policy evaluation
- variance reduction
- particle filter
- primal dual
- adaptive sampling
- markovian decision
- numerical stability
- monte carlo tree search
- markov chain monte carlo
- gaussian kernels
- optimal strategy
- feature selection
- particle swarm optimization
- support vector machine
- point processes
- number of iterations required