An elementary derivation of the large deviation rate function for finite state Markov chains.
Mathukumalli VidyasagarPublished in: CDC (2009)
Keyphrases
- finite state
- markov chain
- large deviations
- markov processes
- importance sampling
- state dependent
- steady state
- stationary distribution
- queue length
- markov process
- queueing systems
- monte carlo
- transition probabilities
- stochastic process
- random walk
- state space
- markov chain monte carlo
- markov decision processes
- model checking
- optimal policy
- average cost
- single server
- heavy tailed
- asymptotically optimal
- policy iteration
- sufficient conditions
- generalization bounds
- least squares
- bayesian networks