Importance Sampling for Markov Chains: Computing Variance and Determining Optimal Measures.
Indira KurugantiStephen G. StricklandPublished in: WSC (1996)
Keyphrases
- markov chain
- importance sampling
- variance reduction
- monte carlo
- steady state
- variance estimator
- markov chain monte carlo
- state space
- stationary distribution
- random walk
- transition probabilities
- large deviations
- confidence intervals
- transition matrix
- optimal solution
- markov processes
- probabilistic automata
- particle filter
- higher order
- dynamic programming
- search space