Vectorized algorithm for multidimensional Monte Carlo integration on modern GPU, CPU and MIC architectures.
Przemyslaw StpiczynskiPublished in: J. Supercomput. (2018)
Keyphrases
- monte carlo
- stochastic approximation
- importance sampling
- objective function
- optimal strategy
- computational complexity
- search space
- monte carlo simulation
- simulation study
- detection algorithm
- learning algorithm
- optimal solution
- markov chain
- computational cost
- parallel implementation
- markov chain monte carlo
- graphics processors
- markov random field
- least squares
- convergence rate
- temporal difference
- reinforcement learning
- monte carlo method
- genetic algorithm
- matrix inversion