Dynamic importance sampling for uniformly recurrent Markov chains (Q1774208)
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scientific article
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| English | Dynamic importance sampling for uniformly recurrent Markov chains |
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Dynamic importance sampling for uniformly recurrent Markov chains (English)
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29 April 2005
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A dynamic important sampling in the setting of uniformly recurrent Markov chain is suggested for reducing the variance of estimating the rare probability by Monte Carlo, where the reference measure used for rejection principle is time varying. The existence of asymptotically optimal scheme is shown based on a control theory approach. Numerical examples are illustrated in contrast to the standard scheme.
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asymptotic optimality
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important sampling
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Monte Carlo simulation
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rare event
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weak convergence
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0.8421599268913269
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0.8117820620536804
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0.8004481196403503
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0.8001993894577026
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0.7988709211349487
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