Multilevel Monte Carlo for Continuous Time Markov Chains, with Applications in Biochemical Kinetics.
David F. AndersonDesmond J. HighamPublished in: Multiscale Model. Simul. (2012)
Keyphrases
- monte carlo
- continuous time markov chains
- experimental data
- markov processes
- markov chain
- poisson distribution
- monte carlo simulation
- numerically stable
- monte carlo methods
- importance sampling
- markov process
- monte carlo tree search
- matrix inversion
- steady state
- temporal difference
- adaptive sampling
- state space
- stationary distribution
- variance reduction
- particle filter
- stochastic process
- point processes
- sample size
- markovian decision