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

SEMINARS


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

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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