Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation

DOI10.1287/OPRE.1060.0291zbMATH Open1167.60343OpenAlexW2158126207MaRDI QIDQ3391995FDOQ3391995

Authors: T. Ahamed, Vivek Borkar, S. Juneja 

Publication date: 13 August 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1060.0291

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Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic approximation (62L20)

Cited In (13)

• Reinforcement learning, sequential Monte Carlo and the EM algorithm
• Adaptive sampling of large deviations
• A new learning algorithm for optimal stopping
• Combining importance sampling and temporal difference control variates to simulate Markov Chains
• Monte Carlo methods for pricing financial options
• The cross-entropy method with patching for rare-event simulation of large Markov chains
• Rare-event simulation for neural network and random forest predictors
• Approximating zero-variance importance sampling in a reliability setting
• Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysis
• Markov chains, Hamiltonian cycles and volumes of convex bodies
• Efficient exponential tilting with applications
• Adapative importance sampling on discrete Markov chains
• On the inefficiency of state-independent importance sampling in the presence of heavy tails

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