Variance reduction for Markov chain processes using state space evaluation for control variates.
Fredrik A. DahlPublished in: J. Oper. Res. Soc. (2001)
Keyphrases
- markov chain
- state space
- variance reduction
- monte carlo
- importance sampling
- quasi monte carlo
- random numbers
- random walk
- transition probabilities
- finite state
- confidence intervals
- stationary distribution
- monte carlo method
- dynamic programming
- markov decision processes
- reinforcement learning
- initial state
- optimal policy
- transition matrix
- markov decision process
- dynamical systems
- particle filter
- search space
- machine learning
- sample size
- training data