Combining importance sampling and temporal difference control variates to simulate Markov Chains

DOI10.1145/974734.974735zbMATH Open1390.65031OpenAlexW2073733021MaRDI QIDQ4564841FDOQ4564841

Authors: Ramandeep S. Randhawa, S. Juneja 

Publication date: 12 June 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/974734.974735

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zbMATH Keywords

importance samplingvariance reductionstochastic approximationMarkov chainsrare eventstemporal difference methods

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cited In (4)

• Excessive backlog probabilities of two parallel queues
• The cross-entropy method with patching for rare-event simulation of large Markov chains
• Importance sampling for markov chains: asymptotics for the variance
• On the optimal Markov chain of IS simulation

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