An Optimal Monte Carlo Algorithm for a Class of Multidimensional Integrals.
Venelin TodorovIvan DimovStoyan ApostolovStefka FidanovaStoyan PoryazovYuri DimitrovPublished in: FedCSIS (Communication Papers) (2020)
Keyphrases
- monte carlo
- dynamic programming
- optimal solution
- markov chain
- monte carlo simulation
- optimal strategy
- computational cost
- simulation study
- worst case
- np hard
- importance sampling
- computational complexity
- monte carlo methods
- temporal difference
- reinforcement learning
- markov chain monte carlo
- matrix inversion
- detection algorithm
- simulated annealing
- search space
- objective function
- particle filter
- probabilistic model
- variance reduction
- stochastic approximation
- learning algorithm