Approximating Martingales for Variance Reduction in Markov Process Simulation

DOI10.1287/MOOR.27.2.253.329MaRDI QIDQ5704074zbMATH OpenOpenAlexFDO

Authors Shane G. Henderson, Peter W. Glynn

Publication date 11 November 2005

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/9e3b099fda1b556474ea9a877ac61fa2ce68614a

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

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(10)

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• Queueing network controls via deep reinforcement learning
• Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization
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• Zero variance Markov chain Monte Carlo for Bayesian estimators

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