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Approximating Martingales for Variance Reduction in Markov Process Simulation.
Shane G. Henderson
Peter W. Glynn
Published in:
Math. Oper. Res. (2002)
Keyphrases
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markov process
variance reduction
markov chain
monte carlo
sample size
stochastic process
transition probabilities
stationary distribution
naive bayes classifier
importance sampling
random variables
confidence intervals