Adapative importance sampling on discrete Markov chains

DOI10.1214/AOAP/1029962748zbMath0939.65009OpenAlexW2060859869MaRDI QIDQ1305417

Craig Kollman, Dennis D. Cox, Rick Picard, Keith A. Baggerly

Publication date: 22 March 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962748

zbMATH Keywords

importance samplingnumerical examplesMonte Carlo methodexponential convergencediscrete Markov chainsparticle transportadaptive procedureszero-variance solution

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Stochastic particle methods (65C35)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

Related Items (13)

An Improved “Walk on Equations” Monte Carlo Algorithm for Linear Algebraic Systems ⋮ On the inefficiency of state-independent importance sampling in the presence of heavy tails ⋮ An adaptive zero-variance importance sampling approximation for static network dependability evaluation ⋮ The cross-entropy method with patching for rare-event simulation of large Markov chains ⋮ Approximating zero-variance importance sampling in a reliability setting ⋮ The square root rule for adaptive importance sampling ⋮ Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy ⋮ Adaptive simulation using perfect control variates ⋮ Accelerating convergence in stochastic particle dispersion simulation codes ⋮ A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations ⋮ Coupling based estimation approaches for the average reward performance potential in Markov chains ⋮ Rare-event simulation for neural network and random forest predictors ⋮ Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation

Uses Software

• MCNP

This page was built for publication: Adapative importance sampling on discrete Markov chains