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Items for "quantization"

Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation

We present an approximation method for discrete time nonlinear filtering in view of solving dynamic optimization problems under partial information...

Keywords: Nonlinear filtering, Markov chain, quantization, stochastic gradient descent, Monte Carlo simulations, partial observation, optimal stopping

03/2005 | Monte Carlo Methods and Applications, Walter de Gruyter
Some new simulations schemes for the evaluation of Feynman–Kac representations

We describe new variants of the Euler scheme and of the walk on spheres method for the Monte Carlo computation of Feynman–Kac representations...

Keywords: FeynmanKac formula, simulation schemes, quantization, Poisson equation, sequential Monte Carlo algorithms, stochastic spectral formulation

01/2008 | Monte Carlo Methods and Applications, Walter de Gruyter