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

DOI10.1145/974734.974735MaRDI QIDQ4564841zbMATH OpenOpenAlexFDO

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

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)

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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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