Bounding the variance in Monte Carlo experiments.
George S. FishmanDavid S. RubinPublished in: Oper. Res. Lett. (1992)
Keyphrases
- monte carlo
- variance reduction
- importance sampling
- markov chain
- monte carlo simulation
- monte carlo methods
- particle filter
- markovian decision
- simulation study
- upper bound
- stochastic approximation
- temporal difference
- quasi monte carlo
- markov chain monte carlo
- matrix inversion
- search algorithm
- monte carlo tree search
- point processes
- uct algorithm
- genetic algorithm