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Extensions of Dynamic Programming, Machine Learning, Discrete Optimization
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Monte Carlo sampling
Multi Index Method
Mon, Jun 1 2015
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Wed, Jun 1 2016
Monte Carlo sampling
Multi index methods are based on Sparse Grid methods and utilize the extra mixed regularity between dimensions (spatial or stochastic) to reduce the work complexity of different methods. In fact, in some cases we may get the rate of work complexity that is independent of the number of dimensions.
