Connecting the Dots: Numerical Randomized Hamiltonian Monte Carlo with State-Dependent Event Rates.
Tore Selland KleppePublished in: J. Comput. Graph. Stat. (2022)
Keyphrases
- monte carlo
- state dependent
- quasi monte carlo
- markov chain
- steady state
- stationary distribution
- optimal policy
- monte carlo simulation
- variance reduction
- particle filter
- importance sampling
- queueing networks
- state space
- finite state
- arrival rate
- monte carlo methods
- single server
- queue length
- matrix inversion
- monte carlo tree search
- asymptotically optimal
- random walk
- transition probabilities
- markov decision processes
- markovian decision
- service times
- optimal strategy
- adaptive sampling
- point processes