General Error Estimates for the Longstaff-Schwartz Least-Squares Monte Carlo Algorithm.
Daniel Z. ZangerPublished in: Math. Oper. Res. (2020)
Keyphrases
- monte carlo
- least squares
- learning algorithm
- importance sampling
- monte carlo simulation
- error estimates
- stochastic approximation
- search space
- worst case
- provably correct
- computational cost
- artificial intelligence
- parameter estimation
- markov chain
- dynamic programming
- objective function
- particle filter
- convergence rate
- active learning
- optimal strategy
- tree search
- search algorithm
- monte carlo method
- optimal solution
- policy evaluation
- matrix inversion
- reinforcement learning