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On Optimal Importance Sampling for Discrete Time Markov Chains.
Werner Sandmann
Published in:
QEST (2005)
Keyphrases
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markov chain
importance sampling
monte carlo
steady state
finite state
markov process
transition probabilities
stationary distribution
markov processes
state space
transition matrix
markov chain monte carlo
variance reduction
bayesian inference
dynamic programming
reinforcement learning
closed form
prior knowledge