State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables.
Eya Ben AmarNadhir Ben RachedAbdul-Lateef Haji-AliRaúl TemponePublished in: Stat. Comput. (2023)
Keyphrases
- random variables
- importance sampling
- state dependent
- markov chain
- identically distributed
- large deviations
- graphical models
- steady state
- monte carlo
- approximate inference
- stationary distribution
- service times
- probability distribution
- independent and identically distributed
- optimal policy
- particle filter
- kalman filter
- latent variables
- bayesian networks
- joint distribution
- special case
- posterior distribution
- state space
- higher order
- transition probabilities
- particle filtering
- queueing networks
- probabilistic inference
- random walk
- probabilistic model
- single server
- conditional random fields
- asymptotically optimal
- arrival rate
- markov chain monte carlo
- conditional probabilities
- parameter estimation
- sufficient conditions
- queueing model
- long run
- belief propagation