Convergence analysis of multifidelity Monte Carlo estimation.
Benjamin PeherstorferMax D. GunzburgerKaren WillcoxPublished in: Numerische Mathematik (2018)
Keyphrases
- monte carlo
- convergence analysis
- importance sampling
- monte carlo simulation
- markov chain
- monte carlo methods
- global convergence
- particle filter
- optimality conditions
- variance reduction
- monte carlo tree search
- adaptive sampling
- convergence rate
- optimization methods
- matrix inversion
- parameter estimation
- global optimum
- temporal difference
- game tree
- machine learning
- markovian decision