Acceleration on Adaptive Importance Sampling with Sample Average Approximation (Q5350440)
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scientific article; zbMATH DE number 6767756
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Acceleration on Adaptive Importance Sampling with Sample Average Approximation |
scientific article; zbMATH DE number 6767756 |
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Acceleration on Adaptive Importance Sampling with Sample Average Approximation (English)
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1 September 2017
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central limit theorem
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exponential family
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importance sampling
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small sample sizes
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sample average approximation
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variance reduction
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Monte Carlo simulations
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multivariate probability laws
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convergence
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numerical result
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algorithm
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