Linear Monte Carlo quadrature with optimal confidence intervals.
Robert J. KunschPublished in: J. Complex. (2024)
Keyphrases
- monte carlo
- confidence intervals
- markov chain
- optimal strategy
- variance reduction
- sufficiently small
- monte carlo simulation
- importance sampling
- stochastic systems
- matrix inversion
- monte carlo methods
- adaptive sampling
- sample size
- dynamic programming
- particle filter
- temporal difference
- stopping rules
- monte carlo tree search
- markovian decision
- markov chain monte carlo
- data sets
- worst case
- computational complexity