Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods
Year of publication: |
2022
|
---|---|
Authors: | Peng, Yijie ; Fu, Michael ; Hu, Jiaqiao ; L'Ecuyer, Pierre ; Tuffin, Bruno |
Published in: |
Journal of management science and engineering. - Amsterdam : Elsevier, ISSN 2589-5532, ZDB-ID 2972364-4. - Vol. 7.2022, 4, p. 550-577
|
Subject: | Conditional Monte Carlo | Randomized quasi-Monte Carlo | Simulation | Stochastic gradient estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Stochastischer Prozess | Stochastic process |
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