Computing Densities for Markov Chains via Simulation.
Shane G. HendersonPeter W. GlynnPublished in: Math. Oper. Res. (2001)
Keyphrases
- markov chain
- monte carlo method
- monte carlo simulation
- steady state
- finite state
- transition probabilities
- monte carlo
- stationary distribution
- markov model
- random walk
- stochastic process
- probabilistic automata
- markov process
- confidence intervals
- state space
- markov processes
- transition matrix
- sample path
- search algorithm
- queueing theory
- probability distribution