
Antonov and Piterbarg – 22/11/22
Quantcast – a Risk.net Cutting Edge podcast
00:00
Generalized Stochastic Sampling in Multi-Dimensional Space
The first is called generalized stochastic sampling. The centers of these Bells are situated, which is very importantly in a randomly distributed points. So this is actually the key of this basis to come up with a high dimensional problems. Monte Carlo integration is more efficient and the only available method in multi-dimensional space.
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