Stability estimates in the problem of average optimal switching of a Markov chain.
Evgueni GordienkoAlexander YushkevichPublished in: Math. Methods Oper. Res. (2003)
Keyphrases
- markov chain
- confidence intervals
- finite state
- steady state
- importance sampling
- transition probabilities
- monte carlo
- markov model
- monte carlo method
- markov process
- average cost
- stationary distribution
- stochastic process
- state space
- monte carlo simulation
- transition matrix
- estimation error
- dynamic programming
- random walk
- least squares
- optimal solution
- machine learning