Automated State-Dependent Importance Sampling for Markov Jump Processes via Sampling from the Zero-Variance Distribution

DOI10.1239/jap/1409932671zbMath1305.60081OpenAlexW1991638386MaRDI QIDQ2923433

Adam W. Grace, Werner Sandmann, Dirk P. Kroese

Publication date: 15 October 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1409932671

zbMATH Keywords

importance sampling Markov jump processes queueing system stochastic chemical kinetics improved cross entropy zero-variance distribution

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Queueing theory (aspects of probability theory) (60K25) Classical flows, reactions, etc. in chemistry (92E20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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