Weighted simulation of steady-state transport within the standard Monte Carlo paradigm.
Stefano PortolanRita Claudia IottiFausto RossiPublished in: Monte Carlo Methods Appl. (2004)
Keyphrases
- monte carlo
- steady state
- markov chain
- monte carlo simulation
- monte carlo method
- importance sampling
- operating conditions
- product form
- transition probabilities
- explicit expressions
- state space
- queue length
- queueing networks
- stationary distribution
- monte carlo tree search
- optimal strategy
- variance estimator
- adaptive sampling
- matrix inversion
- steady states
- monte carlo methods
- particle filter
- arrival process
- markovian decision
- fluid model
- variance reduction
- heavy traffic
- game tree
- arrival rate
- state dependent
- limit cycle
- markov chain monte carlo
- confidence intervals
- special case