Measure-Valued Differentiation for Stationary Markov Chains.
Bernd HeidergottArie HordijkHeinz WeisshauptPublished in: Math. Oper. Res. (2006)
Keyphrases
- markov chain
- steady state
- transition probabilities
- finite state
- monte carlo method
- monte carlo
- markov model
- markov processes
- stochastic process
- monte carlo simulation
- non stationary
- stationary distribution
- markov process
- transition matrix
- similarity measure
- probabilistic automata
- random walk
- state space
- cost sensitive
- assemble to order systems
- sample path
- relative entropy
- algo rithm