variance-reduction topic
chaospy
Chaospy - Toolbox for performing uncertainty quantification.
SGDLibrary
MATLAB/Octave library for stochastic optimization algorithms: Version 1.0.20
framework-reproducibility
Providing reproducibility in deep learning frameworks
RSOpt
Riemannian stochastic optimization algorithms: Version 1.0.3
MonteCarlo
A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
pytorch-pl-variance-reduction
[AAAI 2020 Oral] Low-variance Black-box Gradient Estimates for the Plackett-Luce Distribution
MPIPlatform
A platform for distributed optimization expriments using OpenMPI
SimpleDeepNetToolbox
Simple MATLAB toolbox for deep learning network: Version 1.0.3
Financial-Derivative-Analysis-and-Simulation
Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model...
ARM-gradient
Low-variance, efficient and unbiased gradient estimation for optimizing models with binary latent variables. (ICLR 2019)