Zero-Variance Importance Sampling Estimators for Markov Process Expectations.
Hernan P. AwadPeter W. GlynnReuven Y. RubinsteinPublished in: Math. Oper. Res. (2013)
Keyphrases
- markov process
- importance sampling
- markov chain
- variance estimator
- variance reduction
- monte carlo
- markov processes
- steady state
- stochastic process
- stationary distribution
- transition probabilities
- random walk
- state space
- kalman filter
- particle filter
- markov chain monte carlo
- single server
- particle filtering
- computer vision
- message passing