Noisy Monte Carlo: convergence of Markov chains with approximate transition kernels.
Pierre AlquierNial FrielRichard G. EverittAidan BolandPublished in: Stat. Comput. (2016)
Keyphrases
- markov chain
- monte carlo
- stochastic approximation
- policy evaluation
- finite state
- steady state
- monte carlo simulation
- transition probabilities
- importance sampling
- monte carlo method
- stationary distribution
- random walk
- markov processes
- monte carlo tree search
- monte carlo methods
- transition matrix
- markovian decision
- convergence rate
- state space
- matrix inversion
- missing data
- adaptive sampling
- variance reduction
- support vector
- probabilistic automata
- kernel methods
- weight update
- bayesian learning
- temporal difference
- markov chain monte carlo
- confidence intervals
- feature space