Seminars: B. T. Polyak, В окрестностях Монте-Карло. Часть 1

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Mathematical Seminar
March 6, 2012, Dolgoprudnyi

Series "Spring 2012"

В окрестностях Монте-Карло. Часть 1

B. T. Polyak

Institute of Control Sciences, Russian Academy of Sciences, Moscow

*Supplementary materials:*
	Adobe PDF	2.3 Mb

Supplementary materials:

seminar_mfti_polyak_6_3_2012_p1.pdf (2.3 Mb)

References

Rubinstein R.Y., Kroese D.P., Simulation and the Monte Carlo method, Wiley, 2008
Diaconis P., “Markov chain Monte Carlo revolution”, Bull. AMS, 46:2 (2009), 179–205
Turchin V.F., “K vychisleniyu mnogomernykh integralov po metodu Monte-Karlo”, TVP, 16:4 (1971), 738–743
Smith R.L., “Efficient Monte Carlo procedures for generating points uniformly distributed over bounded regions”, Oper. Res., 32:6 (1984), 1296-1308
Borovkov K.A., “Ob odnom novom variante metoda Monte-Karlo”, TVP, 36:2 (1991), 342–346
Polyak B.T., Gryazina E.N., “Randomized methods based on new Monte Carlo schemes for control and optimization”, Ann. Oper. Res., 189:1 (2011), 343–356
Polyak B.T., Gryazina E.N., “Hit-and-Run: randomized technique for control problemsrecastedas concave programming”, 18th IFAC World Congress, Milan, Italy, 2011, 2321–232

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