On the optimality and stability of exponential twisting in Monte Carlo estimation.
John S. SadowskyPublished in: IEEE Trans. Inf. Theory (1993)
Keyphrases
- monte carlo
- importance sampling
- monte carlo simulation
- variance reduction
- monte carlo methods
- markov chain
- particle filter
- temporal difference
- simulation study
- monte carlo method
- matrix inversion
- adaptive sampling
- monte carlo tree search
- optimal strategy
- stochastic approximation
- markov chain monte carlo
- parameter estimation
- global illumination
- optimal solution
- point processes