Product-form estimators: exploiting independence to scale up Monte Carlo.
Juan KuntzFrancesca R. CrucinioAdam M. JohansenPublished in: Stat. Comput. (2022)
Keyphrases
- monte carlo
- product form
- markov chain
- steady state
- stationary distribution
- variance reduction
- queueing networks
- importance sampling
- monte carlo methods
- monte carlo simulation
- conditional density estimation
- queuing network
- confidence intervals
- state dependent
- policy evaluation
- transition probabilities
- particle filter
- adaptive sampling
- state space
- monte carlo tree search
- optimal strategy
- quasi monte carlo
- markovian decision
- random walk
- point processes