On variance stabilisation in Population Monte Carlo by double Rao-Blackwellisation.
Alessandra IacobucciJean-Michel MarinChristian P. RobertPublished in: Comput. Stat. Data Anal. (2010)
Keyphrases
- monte carlo
- variance reduction
- markov chain
- monte carlo simulation
- importance sampling
- monte carlo tree search
- simulation study
- monte carlo methods
- quasi monte carlo
- particle filter
- markovian decision
- temporal difference
- stochastic approximation
- adaptive sampling
- uct algorithm
- support vector
- monte carlo method
- matrix inversion
- optimal strategy
- probabilistic model
- machine learning