Exact simulation of continuous time Markov jump processes with anticorrelated variance reduced Monte Carlo estimation.
Peter A. MaginnisMatthew WestGeir E. DullerudPublished in: CDC (2014)
Keyphrases
- markov chain
- monte carlo
- monte carlo simulation
- importance sampling
- monte carlo method
- variance reduction
- simulation study
- markov processes
- state space
- markovian decision
- monte carlo methods
- unbiased estimator
- temporal difference
- markov chain monte carlo
- parameter estimation
- reinforcement learning
- monte carlo tree search
- stochastic processes
- confidence intervals
- stochastic approximation