State-dependent importance sampling schemes via minimum cross-entropy.
Ad RidderThomas TaimrePublished in: Ann. Oper. Res. (2011)
Keyphrases
- importance sampling
- state dependent
- markov chain
- minimum cross entropy
- steady state
- monte carlo
- large deviations
- stationary distribution
- maximum entropy
- cross entropy
- optimal policy
- kalman filter
- queueing networks
- single server
- approximate inference
- queue length
- particle filtering
- arrival rate
- service times
- random walk
- state space
- markov chain monte carlo
- machine learning
- object tracking
- maximum likelihood
- higher order
- learning algorithm