Randomized dimension reduction for Monte Carlo simulations
Year of publication: |
2020
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Authors: | Kahalé, Nabil |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 66.2020, 3, p. 1421-1439
|
Subject: | dimension reduction | variance reduction | effective dimension | Markov chains | Monte Carlo methods | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation | Markov-Kette | Markov chain |
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