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Randhawa, R. S.; Juneja, S.

Combining importance sampling and temporal difference control variates to simulate Markov chains. (English) Zbl 1390.65031

ACM Trans. Model. Comput. Simul. 14, No. 1, 1-30 (2004).

Cited in 5 Documents

MSC:

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

Keywords:

importance sampling; Markov chains; rare events; stochastic approximation; temporal difference methods; variance reduction
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