226 search results - page 6 / 46 » A Monte-Carlo AIXI Approximation |
MOR
2007
13 years 7 months ago
2007
Adaptive Monte Carlo methods are simulation efficiency improvement techniques designed to adaptively tune simulation estimators. Most of the work on adaptive Monte Carlo methods h...
SIAMJO
2002
13 years 7 months ago
2002
In this paper we study a Monte Carlo simulation based approach to stochastic discrete optimization problems. The basic idea of such methods is that a random sample is generated and...
WSC
2004
13 years 8 months ago
2004
Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is ...
SIAMSC
2008
13 years 7 months ago
2008
In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities ("Greeks"). These estimators are ba...
IPPS
2008
IEEE
14 years 1 months ago
2008
IEEE
The increasing availability of multi-core and multiprocessor architectures provides new opportunities for improving the performance of many computer simulations. Markov Chain Mont...