Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation

DOI10.1287/OPRE.1060.0291MaRDI QIDQ3391995zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cited in

(13)

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

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