A Multi-Index Quasi-Monte Carlo Algorithm for Lognormal Diffusion Problems.

Pieterjan Robbe Dirk Nuyens Stefan Vandewalle

Published in: SIAM J. Sci. Comput. (2017)

Keyphrases

benchmark problems
learning algorithm
dynamic programming
worst case
objective function
optimal solution
computational complexity
probabilistic model
monte carlo
machine learning
search space
np hard
simulated annealing
expectation maximization
noisy data