Automated Importance Sampling via Optimal Control for Stochastic Reaction Networks: A Markovian Projection-based Approach.
Chiheb Ben HammoudaNadhir Ben RachedRaúl TemponeSophia WiechertPublished in: CoRR (2023)
Keyphrases
- optimal control
- importance sampling
- monte carlo
- optimal control problems
- brownian motion
- control problems
- dynamic programming
- kalman filter
- markov chain
- stochastic control
- linear quadratic
- control strategy
- particle filter
- particle filtering
- reinforcement learning
- markov chain monte carlo
- variance reduction
- production planning
- approximate inference
- steady state