Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation.

T. P. I. Ahamed Vivek S. Borkar S. Juneja

Published in: Oper. Res. (2006)

Keyphrases

markov chain
stochastic approximation
monte carlo
steady state
finite state
markov model
transition probabilities
random walk
stationary distribution
markov process
markov processes
state space
probabilistic automata
markov models
reinforcement learning