Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation

DOI10.1287/opre.1060.0291zbMath1167.60343OpenAlexW2158126207MaRDI QIDQ3391995

T. P. I. Ahamed, Vivek S. Borkar, Sandeep 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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