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)

Related Items (10)

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 ⋮ 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

Uses Software

• MCNP

Cites Work

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