A New Variance-Reduction Technique for Regenerative Simulations of Markov Chains.
James M. CalvinMarvin K. NakayamaPublished in: WSC (1997)
Keyphrases
- variance reduction
- markov chain
- monte carlo
- importance sampling
- confidence intervals
- random numbers
- steady state
- gradient estimation
- finite state
- transition probabilities
- random walk
- markov process
- sample size
- state space
- stochastic process
- markov processes
- stationary distribution
- transition matrix
- machine learning
- sample path
- markov chain monte carlo
- em algorithm
- support vector machine
- learning algorithm