Permuted derivative and importance-sampling estimators for regenerative simulations.
James M. CalvinMarvin K. NakayamaPublished in: Eur. J. Oper. Res. (2004)
Keyphrases
- importance sampling
- variance reduction
- monte carlo
- markov chain
- variance estimator
- kalman filter
- rare events
- particle filter
- confidence intervals
- approximate inference
- particle filtering
- continuous time markov chains
- markov chain monte carlo
- steady state
- sample size
- dynamic programming
- hidden markov models
- active learning
- genetic algorithm
- mean shift
- graphical models
- computer vision