A Monte Carlo strategy for structured multiple-step-ahead time series prediction.
Gianluca BontempiPublished in: IJCNN (2014)
Keyphrases
- monte carlo
- optimal strategy
- markov chain
- monte carlo simulation
- quasi monte carlo
- monte carlo methods
- non stationary
- importance sampling
- simulation study
- adaptive sampling
- particle filter
- markovian decision
- model selection
- point processes
- policy evaluation
- monte carlo method
- variance reduction
- temporal difference
- learning algorithm
- neuro fuzzy
- neural network model
- kalman filter