Computational Performance Bounds for Markov Chains With Applications.
James R. MorrisonPanganamala Ramana KumarPublished in: IEEE Trans. Autom. Control. (2008)
Keyphrases
- markov chain
- steady state
- monte carlo
- finite state
- stationary distribution
- random walk
- transition probabilities
- stochastic process
- markov processes
- state space
- monte carlo simulation
- markov model
- markov process
- monte carlo method
- upper bound
- transition matrix
- lower bound
- mathematical programming
- probabilistic automata
- assemble to order systems
- sample path
- queue length
- variance reduction
- dynamic programming