Variance reduction algorithms for parallel replicated simulation of uniformized Markov chains.

Simon Streltsov Pirooz Vakili

Published in: Discret. Event Dyn. Syst. (1996)

Keyphrases

markov chain
variance reduction
finite state
state space
markov processes
random numbers
monte carlo
confidence intervals
learning algorithm
training data
random walk
probabilistic automata
worst case
transition probabilities
importance sampling