Performance analysis conditioned on rare events: an adaptive simulation scheme

DOI10.4310/CIS.2003.v3.n4.a3zbMath1087.94014OpenAlexW2046629897MaRDI QIDQ817405

Vivek S. Borkar, Sandeep Juneja, Arzad A. Kherani

Publication date: 16 March 2006

Published in: Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cis/1119639799

zbMATH Keywords

stochastic approximationreinforcement learningadaptive simulationconditional performance analysismultiplicative Poisson equation

Mathematics Subject Classification ID

Computational learning theory (68Q32) Non-Markovian processes: estimation (62M09) Learning and adaptive systems in artificial intelligence (68T05) Sampling theory in information and communication theory (94A20)

Related Items (6)

Variational and optimal control representations of conditioned and driven processes ⋮ Nonequilibrium Markov processes conditioned on large deviations ⋮ Adaptive sampling of large deviations ⋮ Adaptive simulation using perfect control variates ⋮ Large deviations of empirical measures of diffusions in weighted topologies ⋮ Large deviations conditioned on large deviations. I: Markov chain and Langevin equation

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