Parallel replicated simulation of Markov chains: implementation and variance reduction.
Simon StreltsovPirooz VakiliPublished in: WSC (1993)
Keyphrases
- markov chain
- variance reduction
- monte carlo
- random numbers
- importance sampling
- confidence intervals
- steady state
- finite state
- transition probabilities
- probabilistic automata
- stationary distribution
- markov processes
- gradient estimation
- random walk
- uniformly distributed
- state space
- sample size
- random number
- transition matrix
- bias variance decomposition