Efficient stochastic optimisation by unadjusted Langevin Monte Carlo.
Valentin De BortoliAlain DurmusMarcelo PereyraAna Fernandez VidalPublished in: Stat. Comput. (2021)
Keyphrases
- monte carlo
- markov chain
- monte carlo methods
- monte carlo simulation
- stochastic approximation
- importance sampling
- adaptive sampling
- markovian decision
- point processes
- simulation study
- variance reduction
- monte carlo tree search
- monte carlo method
- temporal difference
- confidence intervals
- policy evaluation
- genetic algorithm
- particle filter
- uct algorithm
- probability distribution