State-dependent importance sampling and large deviations.
Jose H. BlanchetJingchen LiuPeter W. GlynnPublished in: VALUETOOLS (2006)
Keyphrases
- large deviations
- state dependent
- importance sampling
- markov chain
- steady state
- stationary distribution
- monte carlo
- optimal policy
- kalman filter
- arrival rate
- particle filter
- queueing networks
- particle filtering
- queue length
- single server
- markov chain monte carlo
- asymptotically optimal
- approximate inference
- random walk
- rare events
- state space
- transition probabilities
- search space
- visual tracking