An importance sampling method based on a one-step look-ahead density from a Markov chain.

Zdravko I. Botev Pierre L'Ecuyer Bruno Tuffin

Published in: WSC (2011)

Keyphrases

markov chain
steady state
algo rithm
posterior density
finite state
transition probabilities
state space
monte carlo
random walk
stochastic process
monte carlo simulation
markov model
stationary distribution
markov process
monte carlo method
transition matrix
state transition
model selection
support vector machine