Importance sampling for markov chains: asymptotics for the variance

DOI10.1080/15326349408807318MaRDI QIDQ4314750zbMATH OpenOpenAlexFDO

Authors Peter W. Glynn

Publication date 27 November 1994

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349408807318

zbMATH Keywords

analysis of variance asymptoticscumulative costsdiscrete-event simulationsexponential rate constantimportance samplinglikelihood ratio gradient estimatorPerron-Frobenius theorysimulations of finite state Markov chainssteady-state coststerminal costs

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(14)

• Dynamic importance sampling for uniformly recurrent Markov chains
• Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
• Importance sampling for continuous time Markov chains and applications to fluid models
• Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
• Asymptotic Formulas for Markov Processes with Applications to Simulation
• Importance resampling for markov chains
• On the optimal Markov chain of IS simulation
• Combining importance sampling and temporal difference control variates to simulate Markov Chains
• QUICK SIMULATION METHODS FOR ESTIMATING THE UNRELIABILITY OF REGENERATIVE MODELS OF LARGE, HIGHLY RELIABLE SYSTEMS
• On the Choice of Alternative Measures in Importance Sampling with Markov Chains
• Potentially unlimited variance reduction in importance sampling of Markov chains
• Zero-Variance Importance Sampling Estimators for Markov Process Expectations
• Importance Sampling of Test Cases in Markovian Software Usage Models
• Generalized Poststratification and Importance Sampling for Subsampled Markov Chain Monte Carlo Estimation

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